Hands-On Machine Learning for Algorithmic Trading

Explore effective trading strategies in real-world markets using NumPy, spaCy, pandas, scikit-learn, and Keras

Hands-On Machine Learning for Algorithmic Trading

Stefan Jansen

Explore effective trading strategies in real-world markets using NumPy, spaCy, pandas, scikit-learn, and Keras
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Book Details

ISBN 139781789346411
Paperback516 pages

Book Description

The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This book enables you to use a broad range of supervised and unsupervised algorithms to extract signals from a wide variety of data sources and create powerful investment strategies.

This book shows how to access market, fundamental, and alternative data via API or web scraping and offers a framework to evaluate alternative data. You’ll practice the ML workflow from model design, loss metric definition, and parameter tuning to performance evaluation in a time series context. You will understand ML algorithms such as Bayesian and ensemble methods and manifold learning, and will know how to train and tune these models using pandas, statsmodels, sklearn, PyMC3, xgboost, lightgbm, and catboost. This book also teaches you how to extract features from text data using spaCy, classify news and assign sentiment scores, and to use gensim to model topics and learn word embeddings from financial reports. You will also build and evaluate neural networks, including RNNs and CNNs, using Keras and PyTorch to exploit unstructured data for sophisticated strategies.

Finally, you will apply transfer learning to satellite images to predict economic activity and use reinforcement learning to build agents that learn to trade in the OpenAI Gym.

Table of Contents

Chapter 10: Decision Trees and Random Forests
Chapter 12: Unsupervised Learning

What You Will Learn

  • Implement machine learning techniques to solve investment and trading problems
  • Leverage market, fundamental, and alternative data to research alpha factors
  • Design and fine-tune supervised, unsupervised, and reinforcement learning models
  • Optimize portfolio risk and performance using pandas, NumPy, and scikit-learn
  • Integrate machine learning models into a live trading strategy on Quantopian
  • Evaluate strategies using reliable backtesting methodologies for time series
  • Design and evaluate deep neural networks using Keras, PyTorch, and TensorFlow
  • Work with reinforcement learning for trading strategies in the OpenAI Gym

Authors

Table of Contents

Chapter 10: Decision Trees and Random Forests
Chapter 12: Unsupervised Learning

Book Details

ISBN 139781789346411
Paperback516 pages
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