Center for Artificial Intelligence in Business Analytics and Financial Technology
The Spy Predictor
Warren Buffet famously stated “there’s been no better bet than America”. The largest ETF in the world, SPDR S&P 500 fund (SPY) tracks what Buffet was referring to, the S&P 500 stock market index. The aim of the project was to build a model to predict ‘SPY’ efficiently. By scraping financial daily news as input data, using wavelet transformation techniques to de-noise the data set and optimizing auto-encoders, the LSTM – RNN model’s prediction accuracy was enhanced significantly.