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You're reading from  Python for Finance Cookbook

Product typeBook
Published inJan 2020
Reading LevelIntermediate
PublisherPackt
ISBN-139781789618518
Edition1st Edition
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Author (1)
Eryk Lewinson
Eryk Lewinson
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Eryk Lewinson

Eryk Lewinson received his master's degree in Quantitative Finance from Erasmus University Rotterdam. In his professional career, he has gained experience in the practical application of data science methods while working in risk management and data science departments of two "big 4" companies, a Dutch neo-broker and most recently the Netherlands' largest online retailer. Outside of work, he has written over a hundred articles about topics related to data science, which have been viewed more than 3 million times. In his free time, he enjoys playing video games, reading books, and traveling with his girlfriend.
Read more about Eryk Lewinson

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Multilayer perceptrons for time series forecasting

Multilayer perceptrons (MLP) are one of the basic architectures of neural networks. At a very high level, they consist of three components:

  • The input layer: A vector of features.
  • The hidden layers: Each hidden layer consists of N neurons.
  • The output layer: Output of the network; depends on the task (regression/classification).

The input of each hidden layer is first transformed linearly (multiplication by weights and adding the bias term) and then non-linearly (by applying activation functions such as ReLU). Thanks to the non-linear activation, the network is able to model complex, non-linear relationships between the features and the target.

A multilayer perceptron contains multiple hidden layers (also called dense layers or fully connected layers) stacked against each other. The following diagram presents a network with a...

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Python for Finance Cookbook
Published in: Jan 2020Publisher: PacktISBN-13: 9781789618518

Author (1)

author image
Eryk Lewinson

Eryk Lewinson received his master's degree in Quantitative Finance from Erasmus University Rotterdam. In his professional career, he has gained experience in the practical application of data science methods while working in risk management and data science departments of two "big 4" companies, a Dutch neo-broker and most recently the Netherlands' largest online retailer. Outside of work, he has written over a hundred articles about topics related to data science, which have been viewed more than 3 million times. In his free time, he enjoys playing video games, reading books, and traveling with his girlfriend.
Read more about Eryk Lewinson