Description

• An attempt to use deep learning for the Two Sigma Financial Modeling Challenge.
• The results do not look promising: a validation R score of -0.0024 after 4 epochs.

Usage

1. Download and install neon 1.8.1

   git clone https://github.com/NervanaSystems/neon.git
   cd neon
   git checkout v1.8.1
   make
   source .venv/bin/activate
   

2. Verify neon installation

   Make sure that this command does not result in any errors:

   ./examples/mnist_mlp.py -e1
   

3. Install prerequisites

   pip install pandas sklearn
   

4. Download the data files from Kaggle:

   Save all files to a directory (referred to as /path/to/data below) and unzip the .zip file.

5. Clone this repository

   git clone https://github.com/anlthms/fmc-2017.git
   cd fmc-2017
   

6. Train a model and validate

   ./run.py -w </path/to/data> -e 4 -r 0 -quick
   

Notes

• Omit -quick to use the entire data for training and validation.