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Daily Trading of the FTSE Index Using LSTM with Principal Component Analysis

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • David Edelman

    (University College Dublin)

  • David Mannion

    (University College Dublin)

Abstract

This study comprises a preliminary investigation into the use of Long Short-Term Memory (LSTM) methodology when used in conjunction with Principal Component Analysis (PCA) for producing trading signals for daily returns of the the FTSE100 index. The model is trained on approximately 35 years of daily data and validated on six months of testing data, demonstrating a high degree of risk-adjusted trading efficacy.

Suggested Citation

  • David Edelman & David Mannion, 2022. "Daily Trading of the FTSE Index Using LSTM with Principal Component Analysis," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 228-234, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_37
    DOI: 10.1007/978-3-030-99638-3_37
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