Advances in financial machine learning
Material type:
- 9781119482086
- 332.0285631 P7A2
Item type | Current library | Item location | Collection | Shelving location | Call number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|---|---|
Books | Vikram Sarabhai Library | Rack 17-B / Slot 638 (0 Floor, West Wing) | Non-fiction | General Stacks | 332.0285631 P7A2 (Browse shelf(Opens below)) | Available | 198993 |
TABLE OF CONTENTS
1 Financial Machine Learning as a Distinct Subject
PART 1 DATA ANALYSIS
2 Financial Data Structures
3 Labeling
4 Sample Weights
5 Fractionally Differentiated Features
PART 2 MODELLING
6 Ensemble Methods
7 Cross-Validation in Finance
8 Feature Importance
9 Hyper-Parameter Tuning with Cross-Validation
PART 3 BACKTESTING
10 Bet Sizing
11 The Dangers of Backtesting
12 Backtesting through Cross-Validation 161
13 Backtesting on Synthetic Data
14 Backtest Statistics
15 Understanding Strategy Risk
16 Machine Learning Asset Allocation
PART 4 USEFUL FINANCIAL FEATURES
17 Structural Breaks
18 Entropy Features
19 Microstructural Features 281
PART 5 HIGH-PERFORMANCE COMPUTING RECIPES
20 Multiprocessing and Vectorization
21 Brute Force and Quantum Computers
22 High-Performance Computational Intelligence and Forecasting Technologies
Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for generations. Readers will learn how to structure Big data in a way that is amenable to ML algorithms; how to conduct research with ML algorithms on that data; how to use supercomputing methods; how to backtest your discoveries while avoiding false positives. The book addresses real-life problems faced by practitioners on a daily basis, and explains scientifically sound solutions using math, supported by code and examples. Readers become active users who can test the proposed solutions in their particular setting. Written by a recognized expert and portfolio manager, this book will equip investment professionals with the groundbreaking tools needed to succeed in modern finance.
https://www.wiley.com/en-aw/Advances+in+Financial+Machine+Learning-p-9781119482086
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