WaveNetを使った仮想通貨予測モデルの設計と運用

Transcript

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   WaveNetΛ࢖ͬͨ Ծ૝௨՟༧ଌϞσϧͷ ઃܭͱӡ༻ Alpaca Japan yoshiso MarketTech Meetup #1 @

   2018.12.19
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   Who I am Name @yoshiso Belongs AlpacaJapan Role Engineer

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   Disclaimer ͜͜ʹه͞Εͨҙݟ͸ࢲݸਓͷ΋ͷͰ͋Γ ձࣾΛ୅ද͢Δ΋ͷͰ͸͋Γ·ͤΜ ౤ࢿॿݴɾਪ঑ɾק༠͢Δ΋ͷͰ΋͋Γ·ͤΜ

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   How to Design the Market Prediction Model

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   Outline Universe Time Horizon Training Label Features Model

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   Only for Meetup Visitors

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   How to Manage the Prediction System

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   Outline Ձ֨σʔλͷσϦόϦ ༧ଌੜ੒ͱΦʔμʔडൃ஫ͷ෼཭ Ϟσϧͷ࠶ֶशͱߋ৽

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   Architecture USBEFTFSWFS &YDIBOHF BMMPDBUPS 1SFEJDUPS 1SFEJDUPS trades executions trades executions

   order order aggregated price data desired portfolio 1SFEJDUPS
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    tradeserver • औҾॴͷՁ֨σʔλΛಉظɺෳ਺predictor΁Ձ ֨σʔλΛఏڙ͢Δ • औҾॴͷRateLimitճආͭͭ͠࠷଎ͰσϦόϦ • Φʔμʔͷঢ়ଶ؅ཧ • औҾॴଆΦʔμʔ͕ݟ͑ͳ͍έʔε౳ݕ஌ɺ

    ੔߹ੑΛऔΔ
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    allocator • ݱࡏͷϙʔτϑΥϦΦͱཧ૝ϙʔτϑΥϦΦ ͷࠩ෼Λࣥߦ͢Δ • େ͖͍ΦʔμʔͷεϥΠγϯάॲཧɺϦϛο τΦʔμʔͷ؅ཧ • ෳ਺ͷϓϨσΟΫλ͔Βཧ૝ϙʔτϑΥϦΦ Λड͚औΓҰׅ؅ཧ

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    predictor • ࢦఆ͞Εͨස౓͝ͱʹՁ֨ͷࠩ෼σʔλΛ tradeserver͔Βऔಘ • ฒྻॲཧʹͯલॲཧɺϞσϧͷਪ࿦ɺ༧ଌε ίΞΛܭࢉ • ༧ଌείΞΛ΋ͱʹཧ૝ϙʔτϑΥϦΦΛग़ ྗ͢Δ

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    Model Re-training • ఆظతʹ࠶ֶशΛ͔͚Δ(bi-weekly) • ௚ۙੜ੒͞Εͨෳ਺ͷϞσϧΛݩʹΞϯαϯϒϧ • Ϛʔέοτ͕มΘΔͱɺਫ਼౓͕શ͘ग़ͳ͘ͳΔ͜ͱ΋

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    Done

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    We’re Hiring Check AlpacaJapan in Wantedly