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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
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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.
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Random forests – making trees more reliable

Decision trees are not only useful for their transparency and interpretability. They are also fundamental building blocks for more powerful ensemble models that combine many individual trees, while randomly varying their design to address the overfitting problems we just discussed.

Why ensemble models perform better

Ensemble learning involves combining several machine learning models into a single new model that aims to make better predictions than any individual model. More specifically, an ensemble integrates the predictions of several base estimators, trained using one or more learning algorithms, to reduce the generalization error that these models produce on their own.

For ensemble learning to achieve this goal, the individual models must be:

  • Accurate: Outperform a naive baseline (such as the sample mean or class proportions)
  • Independent: Predictions are generated differently to produce different...
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Machine Learning for Algorithmic Trading - Second Edition
Published in: Jul 2020Publisher: PacktISBN-13: 9781839217715

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