  Deep neural networks (DNNs) are powerful types of artificial neural networks
(ANNs) that use several hidden layers. They have recently gained considerable
attention in the speech transcription and image recognition community
(Krizhevsky et al., 2012) for their superior predictive properties including
robustness to overfitting. However their application to algorithmic trading has
not been previously researched, partly because of their computational
complexity. This paper describes the application of DNNs to predicting
financial market movement directions. In particular we describe the
configuration and training approach and then demonstrate their application to
backtesting a simple trading strategy over 43 different Commodity and FX future
mid-prices at 5-minute intervals. All results in this paper are generated using
a C++ implementation on the Intel Xeon Phi co-processor which is 11.4x faster
than the serial version and a Python strategy backtesting environment both of
which are available as open source code written by the authors.
