Workshop 2 - Fun with Timeseries

Introduction

Context: LSTMS and timeseries

You have so far seen how RNNs are used for simle time series. In this workshop we will extend this to multi-step and simultaneusely multi-feature and multi-step situations. Today we are going to make some money 💸 1 We will be using financial data for that. There will be no time for backtesting however.

1. Build a baseline LSTM

Build an LSTM net that predicts closing price changes 1 day ahead

2. Extend to multi-step

Build an LSTM net that looks n timesteps back to predict the next period

3. Extend to multi-step and multi-feature

Build an LSTM that uses several inputs (e.g. other stocks or TA features)

In class Notebooks

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