Center for Artificial Intelligence in Business Analytics and Financial Technology

COLUMBIA UNIVERSITY IN THE CITY OF NEW YORK

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.