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You're reading from  Machine Learning for Algorithmic Trading - Second Edition

Product typeBook
Published inJul 2020
Reading LevelIntermediate
PublisherPackt
ISBN-139781839217715
Edition2nd Edition
Languages
Python
Tools
TensorFlow
Concepts
Machine Learning
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Author (1)
Stefan Jansen
Stefan Jansen
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Stefan Jansen

Stefan is the founder and CEO of Applied AI. He advises Fortune 500 companies, investment firms, and startups across industries on data & AI strategy, building data science teams, and developing end-to-end machine learning solutions for a broad range of business problems. Before his current venture, he was a partner and managing director at an international investment firm, where he built the predictive analytics and investment research practice. He was also a senior executive at a global fintech company with operations in 15 markets, advised Central Banks in emerging markets, and consulted for the World Bank. He holds Master's degrees in Computer Science from Georgia Tech and in Economics from Harvard and Free University Berlin, and a CFA Charter. He has worked in six languages across Europe, Asia, and the Americas and taught data science at Datacamp and General Assembly.
Read more about Stefan Jansen

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Topic modeling for with financial news

The notebook lda_financial_news contains an example of LDA applied to a subset of over 306,000 financial news articles from the first five months of 2018. The datasets have been posted on Kaggle, and the articles have been sourced from CNBC, Reuters, the Wall Street Journal, and more. The notebook contains download instructions.

We select the most relevant 120,000 articles based on their section titles with a total of 54 million tokens for an average word count of 429 words per article. To prepare the data for the LDA model, we rely on spaCy to remove numbers and punctuation and lemmatize the results.

Figure 15.14 highlights the remaining most frequent tokens and the article length distribution with a median length of 231 tokens; the 90th percentile is 642 words.

Figure 15.14: Corpus statistics for financial news data

In Figure 15.15, we show results for one model using a vocabulary of 3,570 tokens based on...

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Machine Learning for Algorithmic Trading - Second Edition
Published in: Jul 2020Publisher: PacktISBN-13: 9781839217715
© 2020 Packt Publishing Limited All Rights Reserved

Author (1)

author image
Stefan Jansen

Stefan is the founder and CEO of Applied AI. He advises Fortune 500 companies, investment firms, and startups across industries on data & AI strategy, building data science teams, and developing end-to-end machine learning solutions for a broad range of business problems. Before his current venture, he was a partner and managing director at an international investment firm, where he built the predictive analytics and investment research practice. He was also a senior executive at a global fintech company with operations in 15 markets, advised Central Banks in emerging markets, and consulted for the World Bank. He holds Master's degrees in Computer Science from Georgia Tech and in Economics from Harvard and Free University Berlin, and a CFA Charter. He has worked in six languages across Europe, Asia, and the Americas and taught data science at Datacamp and General Assembly.
Read more about Stefan Jansen

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