Upgrade to Pro
— share decks privately, control downloads, hide ads and more …
Speaker Deck
Features
Speaker Deck
PRO
Sign in
Sign up for free
Search
Search
WaveNetを使った仮想通貨予測モデルの設計と運用
Search
yoshiso
December 19, 2018
0
430
WaveNetを使った仮想通貨予測モデルの設計と運用
yoshiso
December 19, 2018
Tweet
Share
Featured
See All Featured
The Pragmatic Product Professional
lauravandoore
35
6.7k
Adopting Sorbet at Scale
ufuk
77
9.5k
The Language of Interfaces
destraynor
158
25k
10 Git Anti Patterns You Should be Aware of
lemiorhan
PRO
656
60k
Code Review Best Practice
trishagee
69
19k
Fight the Zombie Pattern Library - RWD Summit 2016
marcelosomers
233
17k
Optimizing for Happiness
mojombo
379
70k
Templates, Plugins, & Blocks: Oh My! Creating the theme that thinks of everything
marktimemedia
31
2.4k
Embracing the Ebb and Flow
colly
86
4.8k
We Have a Design System, Now What?
morganepeng
53
7.7k
Facilitating Awesome Meetings
lara
54
6.5k
The Cult of Friendly URLs
andyhume
79
6.5k
Transcript
WaveNetΛͬͨ Ծ௨՟༧ଌϞσϧͷ ઃܭͱӡ༻ Alpaca Japan yoshiso MarketTech Meetup #1 @
2018.12.19
Who I am Name @yoshiso Belongs AlpacaJapan Role Engineer
Disclaimer ͜͜ʹه͞ΕͨҙݟࢲݸਓͷͷͰ͋Γ ձࣾΛද͢ΔͷͰ͋Γ·ͤΜ ࢿॿݴɾਪɾק༠͢ΔͷͰ͋Γ·ͤΜ
How to Design the Market Prediction Model
Outline Universe Time Horizon Training Label Features Model
Only for Meetup Visitors
How to Manage the Prediction System
Outline Ձ֨σʔλͷσϦόϦ ༧ଌੜͱΦʔμʔडൃͷ Ϟσϧͷ࠶ֶशͱߋ৽
Architecture USBEFTFSWFS &YDIBOHF BMMPDBUPS 1SFEJDUPS 1SFEJDUPS trades executions trades executions
order order aggregated price data desired portfolio 1SFEJDUPS
tradeserver • औҾॴͷՁ֨σʔλΛಉظɺෳpredictorՁ ֨σʔλΛఏڙ͢Δ • औҾॴͷRateLimitճආͭͭ͠࠷ͰσϦόϦ • Φʔμʔͷঢ়ଶཧ • औҾॴଆΦʔμʔ͕ݟ͑ͳ͍έʔεݕɺ
߹ੑΛऔΔ
allocator • ݱࡏͷϙʔτϑΥϦΦͱཧϙʔτϑΥϦΦ ͷࠩΛࣥߦ͢Δ • େ͖͍ΦʔμʔͷεϥΠγϯάॲཧɺϦϛο τΦʔμʔͷཧ • ෳͷϓϨσΟΫλ͔ΒཧϙʔτϑΥϦΦ Λड͚औΓҰׅཧ
predictor • ࢦఆ͞Εͨස͝ͱʹՁ֨ͷࠩσʔλΛ tradeserver͔Βऔಘ • ฒྻॲཧʹͯલॲཧɺϞσϧͷਪɺ༧ଌε ίΞΛܭࢉ • ༧ଌείΞΛͱʹཧϙʔτϑΥϦΦΛग़ ྗ͢Δ
Model Re-training • ఆظతʹ࠶ֶशΛ͔͚Δ(bi-weekly) • ۙੜ͞ΕͨෳͷϞσϧΛݩʹΞϯαϯϒϧ • Ϛʔέοτ͕มΘΔͱɺਫ਼͕શ͘ग़ͳ͘ͳΔ͜ͱ
Done
We’re Hiring Check AlpacaJapan in Wantedly