Learning low-frequency temporal patterns for quantitative trading

We consider the viability of a modularised mechanistic online machine learning framework to learn signals in low-frequency financial time series data. The framework is proved on daily sampled closing time-series data from JSE equity markets. The input patterns are vectors of pre-processed sequences of daily, weekly and monthly or quarterly sampled feature changes. The data processing is split into a batch processed step where features are learnt using a stacked autoencoder via unsupervised learn...