In this repository is proposed the pytorch implementation of the paper Data Normalization for Bilinear Structures in High Frequency Financial Time series written by Dat Thanh Tran, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis.
In the notebook is presented a comprehensive machine learning pipeline that encompasses loading the dataset, applying labeling methods, creating datasets and dataloaders, and ultimately, executing the training, validation, and testing processes.
I reached the same results of the paper.
To run the code you just have to download the FI-2010 dataset and change the data path, then the notebook will do the rest, including the training and testing.