README.md

Module3. CNN Encoder + RNN Model for Price Prediction

Will be released after Module2

Goal

• Learn how to implement CNN Encoder + RNN models using Tensorflow Keras API on Google Colab
• Learn which metrics could be important for robustness of time series prediction algorithms

Modules

• M3.1 CNN Encoder + RNN Time Series Prediction Model with Limit Orderbook Data

  • [Reading] Crypto Exchange Price Prediction using Limit Orderbook

• M3.2 Exercise on CNN Encoder + RNN Time Series Prediction Model

  • [Hands-on-Labs] Preprocessing for Limit Orderbook Data [Code] [Data]
  • [Assignment] CNN Encoder + RNN Time Series Prediction Model with Limit Orderbook Data [Problem] [Solution]

• M3.3 Important Metrics for Financial Time Series Prediction

  • [Reading] Correct Time Series Forecasting + Backtesting
  • [PPT] Important Metrics for Financial Time Series Prediction

• M3.4 Exercise on Improving Performance for Machine Learning

  • [Assignment] Improving Performance of Time Series Prediction Model [Problem] [Solution]

• M3.5 Improving Performance for Machine Learning

  • [Reading] Hyperparameter Optimization
  • [Hands-on-Labs] Hyperparameter Search [Code]

• M3.6 Assignment

• M3.7 Slack Discussion

Q&A

• Module 3. CNN Encoder + RNN Model for Price Prediction

Supplementary Materials

• [Video] Interpretable Forecasting of Financial Time Series (104min)