Knowledge Transfer (KT) techniques tackle the problem of transferring the knowledge from a large and complex neural network into a smaller and faster one. However, existing KT methods are tailored towards classification tasks and they cannot be used efficiently for other representation learning tasks. In this paper we propose a novel probabilistic knowledge transfer method that works by matching the probability distribution of the data in the feature space instead of their actual representation. Apart from outperforming existing KT techniques, the proposed method allows for overcoming several of their limitations providing new insight into KT as well as novel KT applications, ranging from KT from handcrafted feature extractors to cross-modal KT from the textual modality into the representation extracted from the visual modality of the data.
Abstract-Forecasting financial time-series has long been among the most challenging problems in financial market analysis. In order to recognize the correct circumstances to enter or exit the markets investors usually employ statistical models (or even simple qualitative methods). However, the inherently noisy and stochastic nature of markets severely limits the forecasting accuracy of the used models. The introduction of electronic trading and the availability of large amounts of data allow for developing novel machine learning techniques that address some of the difficulties faced by the aforementioned methods. In this work we propose a deep learning methodology, based on recurrent neural networks, that can be used for predicting future price movements from large-scale high-frequency timeseries data on Limit Order Books. The proposed method is evaluated using a large-scale dataset of limit order book events.
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