All Products

Best Sellers

New Releases

Books

Videos

Audiobooks

Free Learning

Machine Learning for Algorithmic Trading - Second Edition

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

Product type Book

Published in Jul 2020

Publisher Packt

ISBN-13 9781839217715

Pages 822 pages

Edition 2nd Edition

Languages

Concepts

Machine Learning

Author (1):

Stefan Jansen

Table of Contents (27) Chapters

Preface

1. Machine Learning for Trading – From Idea to Execution

2. Market and Fundamental Data – Sources and Techniques

3. Alternative Data for Finance – Categories and Use Cases

4. Financial Feature Engineering – How to Research Alpha Factors

5. Portfolio Optimization and Performance Evaluation

6. The Machine Learning Process

7. Linear Models – From Risk Factors to Return Forecasts

8. The ML4T Workflow – From Model to Strategy Backtesting

9. Time-Series Models for Volatility Forecasts and Statistical Arbitrage

10. Bayesian ML – Dynamic Sharpe Ratios and Pairs Trading

11. Random Forests – A Long-Short Strategy for Japanese Stocks

12. Boosting Your Trading Strategy

13. Data-Driven Risk Factors and Asset Allocation with Unsupervised Learning

14. Text Data for Trading – Sentiment Analysis

15. Topic Modeling – Summarizing Financial News

16. Word Embeddings for Earnings Calls and SEC Filings

17. Deep Learning for Trading

18. CNNs for Financial Time Series and Satellite Images

19. RNNs for Multivariate Time Series and Sentiment Analysis

20. Autoencoders for Conditional Risk Factors and Asset Pricing

21. Generative Adversarial Networks for Synthetic Time-Series Data

22. Deep Reinforcement Learning – Building a Trading Agent

23. Conclusions and Next Steps

24. References

25. Index

Appendix: Alpha Factor Library

The rise of ML in the investment industry

The investment industry has evolved dramatically over the last several decades and continues to do so amid increased competition, technological advances, and a challenging economic environment. This section reviews key trends that have shaped the overall investment environment and the context for algorithmic trading and the use of ML more specifically.

The trends that have propelled algorithmic trading and ML to their current prominence include:

Changes in the market microstructure, such as the spread of electronic trading and the integration of markets across asset classes and geographies
The development of investment strategies framed in terms of risk-factor exposure, as opposed to asset classes
The revolutions in computing power, data generation and management, and statistical methods, including breakthroughs in deep learning
The outperformance of the pioneers in algorithmic trading relative to human...

You have been reading a chapter from

Machine Learning for Algorithmic Trading - Second Edition

Published in: Jul 2020 Publisher: Packt ISBN-13: 9781839217715

© 2020 Packt Publishing Limited All Rights Reserved

Register for a free Packt account to unlock a world of extra content!

A free Packt account unlocks extra newsletters, articles, discounted offers, and much more. Start advancing your knowledge today.

Unlock this book and the full library FREE for 7 days

Get unlimited access to 7000+ expert-authored eBooks and videos courses covering every tech area you can think of

Start free trial

Renews at €14.99/month. Cancel anytime}

Authors (1)

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

See other products by Stefan Jansen

Other recommended products

Related to this chapter

Hands-On Financial Trading with Python

Hands-On Financial Trading with Python

This book focuses on key Python analytics and algorithmic trading libraries used for backtesting. With the help of practical examples, you will learn the principle aspects of trading strategy development. The 14 profitable strategies included in the book will also help you build intuitions that will enable you to create your own strategy.

Apr 2021 12 hours 0 minutes

Learn Algorithmic Trading

Learn Algorithmic Trading

This book will provide knowledge and hands-on practical experience required to build a good understanding of how modern electronic trading markets and market participants operate. You will learn how to design, build and operate all the components required to build a practical and profitable algorithmic trading business using Python.

Nov 2019 13 hours 8 minutes

Python for Finance

Python for Finance

Python is a free and powerful tool used for quantitative finance and is a popular choice amongst many financial analysts. This book will teach you the basics of quantitative finance, and how they can be implemented by making use of the various Python libraries and modules.This book introduces you to the basic concepts and operations related to Python and teaches you how to work with the various Python libraries like NumPy, Scipy, Matplotlib, and Pandas for quantitative analysis. You will work with time-series data, and implement concepts like stochastics for Monte-Carlo simulation, hedging, derivatives, portfolio optimization and more.This book is a hands-on guide with easy-to-follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python.

Jun 2017 19 hours 32 minutes

Python for Finance Cookbook

Python for Finance Cookbook

Python is becoming the number one language for data science and also quantitative finance. This book provides you with solutions to common tasks from the intersection of quantitative finance and data science, using modern Python libraries.

Jan 2020 14 hours 24 minutes

Learning Quantitative Finance with R

Learning Quantitative Finance with R

This book covers applications of quantitative finance in R. It starts with the basics of quantitative finance and goes to complexity at the end of the book along with a varying degree of R complexity. This will guide you to implement different trading strategies for various financial instruments using basic to complex techniques along with its optimization and keeping the risk of financial instruments in check.

Mar 2017 9 hours 28 minutes

Mastering Python for Finance

Mastering Python for Finance

This book enables you to develop financial applications by harnessing Python’s strengths in data visualization, interactive analytics, and scientific computing. You will be using popular libraries such as TensorFlow, Keras, scikit-learn, and so on to extend the functionalities of your financial applications by using smart machine learning techniques.

Apr 2019 14 hours 12 minutes

Practical Time Series Analysis

Practical Time Series Analysis

Practical Time Series Analysis will introduce you to the basic concepts of time series analysis and describe powerful yet simple techniques in Python which data scientists and data engineers would find useful in dealing with real life datasets in industrial settings. This book focuses on explaining important concepts and practical techniques to process, summarize and model time series data. Real life case studies with code snippets in Python are used to demonstrate the concepts and techniques.

Sep 2017 8 hours 8 minutes

Algorithmic Short Selling with Python

Algorithmic Short Selling with Python

This book will take you on a journey from an idea (“buy bullish stocks, sell bearish ones”) to becoming part of the elite club of long/short algorithmic traders. Along the way, we will explore several key concepts, such as trading edge, frequency, signal processing, trading psychology, capital efficiency, risk management, and asset allocation, one stumbling block at a time.

Sep 2021 12 hours 32 minutes

Hands-On Python for Finance

Hands-On Python for Finance

With this book, you will learn and implement various Quantitative Finance concepts using popular Python libraries like Numpy, pandas, Keras and more. We provide techniques to apply statistical methods used for data preprocessing and predict some of the best real-world case scenarios like stock prediction, sales prediction and many examples as such.

Mar 2019 12 hours 36 minutes

Bayesian Analysis with Python

Bayesian Analysis with Python

Bayesian inference uses probability distributions and Bayes' theorem to build flexible models. The book uses PyMC3 to abstract all the mathematical and computational details from this process allowing readers to solve a wide range of problems in data science.

Dec 2018 11 hours 52 minutes

Hands-On Deep Learning for Finance

Hands-On Deep Learning for Finance

There is a growing interest in applying deep learning to finance but most of the available literature is technical and generally not related to the field. This book is for practitioners who wish to use deep learning in trading and asset management. It compares the merits of different frameworks and their application to quantitative fund management.

Feb 2020 14 hours 44 minutes

Hands-On Artificial Intelligence for Banking

Hands-On Artificial Intelligence for Banking

Hands-On Artificial Intelligence for Banking is a must-have guide for AI developers and machine learning experts looking to build intelligent finance-based applications. This guide will give its readers a complete overview of the global banking business with the help of interesting use-cases, and their implementation using popular Python libraries.

Jul 2020 8 hours 0 minutes

Personalised recommendations for you

Based on your interests and search pattern

Ever wonder why speech recognition systems don't understand the Scottish accent, or what would happen if an astronaut only ate mac 'n' cheese, or other spurious reflections you'd have at a bar? We did, then collated those deliberations into absurd research articles with fake figures and methodologies inspired by even more fictionally absurd studies.

Aug 2023 7 hours 40 minutes

Generative AI with LangChain

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Dec 2023 12 hours 0 minutes

Generative AI with LangChain

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Dec 2023 12 hours 0 minutes

Generative AI with LangChain

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Dec 2023 12 hours 0 minutes

Generative AI with LangChain

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Dec 2023 12 hours 0 minutes

Mastering Tableau 2023

Mastering Tableau 2023

This book is a comprehensive resource to mastering your Tableau skills and becoming a BI expert. As you progress, you will learn how to build advanced dashboards and improve your storytelling to derive key business insight, as well as make you well-versed with advanced functionalities of Tableau in the business intelligence domain.

Aug 2023 22 hours 48 minutes

Building AI Applications with ChatGPT APIs

Building AI Applications with ChatGPT APIs

This guide covers all ChatGPT API features for effortless creation of robust AI powered apps. With its help, you’ll be able to leverage ChatGPT’s cutting-edge NLP models to take your app development skills to the next level. You’ll also work on ten exciting projects that will give you the practical know-how that you can apply to your existing applications.

Sep 2023 8 hours 36 minutes

Building AI Applications with ChatGPT APIs

Building AI Applications with ChatGPT APIs

This guide covers all ChatGPT API features for effortless creation of robust AI powered apps. With its help, you’ll be able to leverage ChatGPT’s cutting-edge NLP models to take your app development skills to the next level. You’ll also work on ten exciting projects that will give you the practical know-how that you can apply to your existing applications.

Sep 2023 8 hours 36 minutes

Data Engineering with AWS

Data Engineering with AWS

Embark on a journey to master data engineering pipelines on AWS! Our book offers a hands-on experience of AWS services for ingesting, transforming, and consuming data. Whether you're an absolute beginner or someone with basic data engineering experience, this guide is an indispensable resource.

Oct 2023 21 hours 12 minutes

Modern Data Architecture on AWS

Modern Data Architecture on AWS

Every organization wants an agile, performant, and cost-effective data platform that meets all their current and future business needs. Purpose-built AWS analytics services and their features play a big part in building such a modern data platform. This book brings to you all the design and architectural patterns that’ll help you achieve this goal.

Aug 2023 14 hours 0 minutes

Practical Guide to Applied Conformal Prediction in Python

Practical Guide to Applied Conformal Prediction in Python

Discover the power of Conformal Prediction with the "Practical Guide to Applied Conformal Prediction in Python." Master the latest techniques to quantify uncertainty in machine learning and computer vision models, and seamlessly apply them to your industry applications.

Dec 2023 8 hours 0 minutes

TinyML Cookbook

TinyML Cookbook

With over 70 project-based recipes, the TinyML Cookbook is a practical guide that will help you to get the most out of your microcontrollers. It provides a comprehensive understanding of the theoretical foundations while giving you hands-on experience training ML models for deployment on Arduino Nano 33 BLE Sense, Raspberry Pi Pico, and SparkFun RedBoard Artemis Nano microcontrollers.

Nov 2023 22 hours 8 minutes