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Machine Learning for Algorithmic Trading

Machine Learning for Algorithmic Trading

Machine Learning for Algorithmic Trading
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Machine Learning for Algorithmic Trading Paperback - 2020

by Stefan Jansen

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Description

Packt Publishing, 2020. Paperback. New.

Author: Stefan Jansen

Publisher: Packt Publishing

Binding: Paperback

ISBN: 9781839217715

Release Date: 2020

Number Of Pages: 820

Details: Leverage machine learning to design and back-test automated trading strategies for real-world markets using pandas, TA-Lib, scikit-learn, LightGBM, SpaCy, Gensim, TensorFlow 2, Zipline, backtrader, Alphalens, and pyfolio.Purchase of the print or Kindle book includes a free eBook in the PDF format.Key FeaturesDesign, train, and evaluate machine learning algorithms that underpin automated trading strategiesCreate a research and strategy development process to apply predictive modeling to trading decisionsLeverage NLP and deep learning to extract tradeable signals from market and alternative dataBook DescriptionThe explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This revised and expanded second edition enables you to build and evaluate sophisticated supervised, unsupervised, and reinforcement learning models.This book introduces end-to-end machine learning for the trading workflow, from the idea and feature engineering to model optimization, strategy design, and backtesting. It illustrates this by using examples ranging from linear models and tree-based ensembles to deep-learning techniques from cutting edge research.This edition 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 an ML model to predict returns from price data for US and international stocks and ETFs. It also shows 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.By the end, you will be proficient in translating ML model predictions into a trading strategy that operates at daily or intraday horizons, and in evaluating its performance.What you will learnLeverage market, fundamental, and alternative text and image dataResearch and evaluate alpha factors using statistics, Alphalens, and SHAP valuesImplement machine learning techniques to solve investment and trading problemsBacktest and evaluate trading strategies based on machine learning using Zipline and BacktraderOptimize portfolio risk and performance analysis using pandas, NumPy, and pyfolioCreate a pairs trading strategy based on cointegration for US equities and ETFsTrain a gradient boosting model to predict intraday returns using AlgoSeek's high-quality trades and quotes dataWho this book is forIf you are a data analyst, data scientist, Python developer, investment analyst, or portfolio manager interested in getting hands-on machine learning knowledge for trading, this book is for you. This book is for you if you want to learn how to extract value from a diverse set of data sources using machine learning to design your own systematic trading strategies.Some understanding of Python and machine learning techniques

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Details

  • Title Machine Learning for Algorithmic Trading
  • Author Stefan Jansen
  • Binding Paperback
  • Condition New
  • Pages 820
  • Volumes 1
  • Language ENG
  • Publisher Packt Publishing
  • Publication date 2020
  • Features Bibliography, Index
  • Bookseller's Inventory # 9781839217715-2025
  • ISBN 9781839217715 / 1839217715
  • Weight 3.05 lbs (1.38 kg)
  • Dimensions 9.25 x 7.5 x 1.63 in (23.50 x 19.05 x 4.14 cm)
  • Category Computers - General Information
  • Library of Congress subjects Python (Computer program language), Machine learning
  • Dewey Decimal Code 006.31
  • Quantity available 1

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From the publisher

Leverage machine learning to design and back-test automated trading strategies for real-world markets using pandas, TA-Lib, scikit-learn, LightGBM, SpaCy, Gensim, TensorFlow 2, Zipline, backtrader, Alphalens, and pyfolio.

Purchase of the print or Kindle book includes a free eBook in the PDF format.

Key Features:

- Design, train, and evaluate machine learning algorithms that underpin automated trading strategies

- Create a research and strategy development process to apply predictive modeling to trading decisions

- Leverage NLP and deep learning to extract tradeable signals from market and alternative data

Book Description:

The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This revised and expanded second edition enables you to build and evaluate sophisticated supervised, unsupervised, and reinforcement learning models.

This book introduces end-to-end machine learning for the trading workflow, from the idea and feature engineering to model optimization, strategy design, and backtesting. It illustrates this by using examples ranging from linear models and tree-based ensembles to deep-learning techniques from cutting edge research.

This edition 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 an ML model to predict returns from price data for US and international stocks and ETFs. It also shows 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.

By the end, you will be proficient in translating ML model predictions into a trading strategy that operates at daily or intraday horizons, and in evaluating its performance.

What You Will Learn:

- Leverage market, fundamental, and alternative text and image data

- Research and evaluate alpha factors using statistics, Alphalens, and SHAP values

- Implement machine learning techniques to solve investment and trading problems

- Backtest and evaluate trading strategies based on machine learning using Zipline and Backtrader

- Optimize portfolio risk and performance analysis using pandas, NumPy, and pyfolio

- Create a pairs trading strategy based on cointegration for US equities and ETFs

- Train a gradient boosting model to predict intraday returns using AlgoSeek s high-quality trades and quotes data

Who this book is for:

If you are a data analyst, data scientist, Python developer, investment analyst, or portfolio manager interested in getting hands-on machine learning knowledge for trading, this book is for you. This book is for you if you want to learn how to extract value from a diverse set of data sources using machine learning to design your own systematic trading strategies.

Some understanding of Python and machine learning techniques is required.

Table of Contents

- Machine Learning for Trading

- Market and Fundamental Data

- Alternative Data for Finance

- Financial Feature Engineering

- Portfolio Optimization and Performance Evaluation

- The Machine Learning Process

- Linear Models

- The ML4T Workflow

(N.B. Please use the Read Sample option to see further chapters)

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