Machine Learning for Algorithmic Trading - Second Edition
Machine Learning for Algorithmic Trading - Second Edition: Predictive models to extract signals from market and alternative data for systematic trading strategies with Python
by Stefan Jansen
English | 2020 | ISBN: 1839217715 | 828 Pages | EPUB | 27 MB
by Stefan Jansen
English | 2020 | ISBN: 1839217715 | 828 Pages | EPUB | 27 MB
This revised version shows how to work with market, fundamental, and alternative data such as tick data, minute and daily bars, SEC filings, earnings call transcripts, financial news, or satellite images to generate tradeable signals. It illustrates how to engineer financial features or 'alpha factors' that enable a machine learning model to predict returns from price data for US and international stocks and ETFs. It also demonstrates how to assess the signal content of new features using Alphalens and SHAP values and includes a new appendix with over one hundred alpha factor examples.