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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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Engineering alpha factors that predict returns

Based on a conceptual understanding of key factor categories, their rationale, and popular metrics, a key task is to identify new factors that may better capture the risks embodied by the return drivers laid out previously, or to find new ones. In either case, it will be important to compare the performance of innovative factors to that of known factors to identify incremental signal gains.

Key tools that facilitate the transformation of data into factors include the Python libraries for numerical computing, NumPy and pandas, as well as the Python wrapper around the specialized library for technical analysis, TA-Lib. Alternatives include the expression alphas developed in Zura Kakushadze's 2016 paper, 101 Formulaic Alphas, and implemented by the alphatools library. In addition, the Quantopian platform provides a large number of built-in factors to speed up the research process.

To apply one or more factors to an investment...

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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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