Long Short-term Memory RNN
About
This paper is based on a machine learning project at the Norwegian University of Science and Technology, fall 2020. The project was initiated with a literature review on the latest developments within time-series forecasting methods in the scientific community over the past five years. The paper summarizes the essential aspects of this research. Furthermore, in this paper, we introduce an LSTM cell's architecture, and explain how different components go together to alter the cell's memory and predict the output. Also, the paper provides the necessary formulas and foundations to calculate a forward iteration through an LSTM. Then, the paper refers to some practical applications and research that emphasize the strength and weaknesses of LSTMs, shown within the time-series domain and the natural language processing (NLP) domain. Finally, alternative statistical methods for time series predictions are highlighted, where the paper outline ARIMA and exponential smoothing. Nevertheless, as LSTMs can be viewed as a complex architecture, the paper assumes that the reader has some knowledge of essential machine learning aspects, such as the multi-layer perceptron, activation functions, overfitting, backpropagation, bias, over- and underfitting, and more.
Related benchmarks
| Task | Dataset | Result | Rank | |
|---|---|---|---|---|
| Algorithmic Trading | CSI 300 Backtesting | Annualized Return22.93 | 12 | |
| Algorithmic Trading | S&P 500 Backtesting | AR18.26 | 12 | |
| Algorithmic Trading | CSI 300 Live Trading | Annualized Return-7.74 | 12 | |
| Algorithmic Trading | S&P 500 Live Trading | Annualized Return-5.52 | 12 |