Friday 22 June 2012

Neural Net to Replace my Bayesian Classifier?

Having more or less completed the machine learning course alluded to in my last post I thought I would have a go at programming a neural net as a possible replacement for my Naive Bayesian Classifier. In said machine learning course there was a task to programme a neural net to recognise the digits 0 to 9 inclusive, as shown below.
It struck me whilst completing this task that I could use the code I was writing to recognise price patterns as a way of classifying the market into one of my 5 states. Quickly writing a pre-processing script in Octave I have been able to produce scaled "snapshots" of my "ideal" markets types thus:-
As can be seen, different market types and periods produce distinctive looking plots, and it is my hope that a neural net can be trained to identify them and thus act as a market classifier. More in a future post.

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