Re:We chose Java for our high-frequency trading application
by howlin on Monday October 26, 2020 @01:52PM
(#24898950)
> If your neural net (haven't actually met anyone who uses these in trading) takes 5ms to make a prediction that'll lock you out of a whole lot of trading opportunities/strategies.
Let's say you have trading opportunities once every 100ms. They need to be acted upon within 2ms or they vanish.
You don't have the time budget to run a NNet every time the state of the market changes. You can, however, train a NNet to output a very small decision tree that can run in under 1ms. The NNet can then decide which "micro-strategy" in the form of a much faster and more reactive decision tree is more appropriate for the current market context.
Let's say you have trading opportunities once every 100ms. They need to be acted upon within 2ms or they vanish.
You don't have the time budget to run a NNet every time the state of the market changes. You can, however, train a NNet to output a very small decision tree that can run in under 1ms. The NNet can then decide which "micro-strategy" in the form of a much faster and more reactive decision tree is more appropriate for the current market context.