Thursday 20 September 2012

NN Architecture CV Tests Complete

The cross validation test results are shown below, with the x-axis being the number of nodes in the hidden layer and the y-axis being the mean squared error of the trained NN (500 epochs) on the validation data set
and an enlarged view of x-axis values 20 to 30.

Basically what these charts say is that having more than 26 nodes in the hidden layer does not appreciably improve the performance of the NN. As a result, the final architecture of my proposed NNs will be 48 nodes in the input layer, 26 nodes in the hidden layer and 1 node in the output layer.

As an aside to all the above, I have just read an interesting paper entitled "Using Trading Dynamics to Boost Quantitative Strategy Performance," available from here. Some very interesting concepts that I shall probably get around to investigating in due course.

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