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Total Posts: 1
Joined: Sep 2016
Posted: 2016-09-18 12:49
I'm a relatively new macro (FX & Rates) trader at a major bank (GS/JPM/BAML) with a quantitative background. I spent some time researching the application of machine learning and other statistical approaches (NN, SVM, Decision Trees, Bayes, HMM, ARIMA, GARCH etc.) to these markets as well as experimenting with my own strategies prior to graduation. Over time, I felt that these markets are simply too complex and noisy for such models to generate any meaningful and consistent profits, especially when slippage is accounted for. But, of course, everything I've done so far has been through my own research and understanding of the topics. Hence, I was hoping for some guidance and mentorship regarding this at work. My team and other traders are supportive of my approach but don't have experience in these ML/AI areas that they could pass on to me.

Are there any tips/advice you guys could offer in terms of further developing my knowledge/approach in this regard? I've read a lot of the research papers pertaining to these markets that can be found through Google.


Total Posts: 198
Joined: Mar 2011
Posted: 2016-09-24 05:09
these markets are simply too complex and noisy

Yes, and what you are trying is something anybody with a computer can do. (Check the Long Salmon / thread.) Nor are you incorporating any unique information. So the economics don't make sense.

Here is one speech about how hard it is to back-test ML strategies. The practical problems (writing the test wrong) and theoretical ones (what does my model space look like?) are significant.


"What you gonna dooo, without your ass?" ~ Sun Ra


Total Posts: 33
Joined: Aug 2014
Posted: 2016-09-25 11:05
> Are there any tips/advice you guys could offer

Try the coin toss in this article.

Also read about multiple comparisons


Total Posts: 889
Joined: Jun 2004
Posted: 2016-09-25 22:32
Most banks use some form of "machine learning" to make markets in Spot FX ..the rules are simple and probably linear models given they have to calculate things in real time.


Total Posts: 1
Joined: Sep 2018
Posted: 2018-09-27 10:16
Hey are u still here? Want to talk something about fx trading
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