qclone/lstm_cpp

lstm+c++

lstm_cpp

LSTM In C++ Code

1. realize the training procedure: BPTT in C++
2. ToDo list

LSTM In Pyhton

• Dataset from : New York Stock Exchange S&P 500 companies historical prices with fundamental data

Inspiration

Here is couple of things one could try out with this data:

• One day ahead prediction: Rolling Linear Regression, ARIMA, Neural Networks, LSTM
• Momentum/Mean-Reversion Strategies
• Security clustering, portfolio construction/hedging

Which company has biggest chance of being bankrupt? Which one is undervalued (how prices behaved afterwards), what is Return on Investment?