Accelerating Machine Learning Training Time for Limit Order Book Prediction
This work addresses the time-intensive training process for financial machine learning researchers, but it is incremental as it applies existing hardware acceleration to a specific domain.
The paper tackled the slow training time of a machine learning algorithm for predicting stock market direction from limit order book data by deploying NVIDIA GPUs, resulting in significantly faster training times that enable more efficient and extensive model development.
Financial firms are interested in simulation to discover whether a given algorithm involving financial machine learning will operate profitably. While many versions of this type of algorithm have been published recently by researchers, the focus herein is on a particular machine learning training project due to the explainable nature and the availability of high frequency market data. For this task, hardware acceleration is expected to speed up the time required for the financial machine learning researcher to obtain the results. As the majority of the time can be spent in classifier training, there is interest in faster training steps. A published Limit Order Book algorithm for predicting stock market direction is our subject, and the machine learning training process can be time-intensive especially when considering the iterative nature of model development. To remedy this, we deploy Graphical Processing Units (GPUs) produced by NVIDIA available in the data center where the computer architecture is geared to parallel high-speed arithmetic operations. In the studied configuration, this leads to significantly faster training time allowing more efficient and extensive model development.