Book Image

Hands-On Machine Learning for Algorithmic Trading

By : Stefan Jansen
Book Image

Hands-On Machine Learning for Algorithmic Trading

By: Stefan Jansen

Overview of this book

The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This book enables you to use a broad range of supervised and unsupervised algorithms to extract signals from a wide variety of data sources and create powerful investment strategies. This book shows how to access market, fundamental, and alternative data via API or web scraping and offers a framework to evaluate alternative data. You’ll practice the ML work?ow from model design, loss metric definition, and parameter tuning to performance evaluation in a time series context. You will understand ML algorithms such as Bayesian and ensemble methods and manifold learning, and will know how to train and tune these models using pandas, statsmodels, sklearn, PyMC3, xgboost, lightgbm, and catboost. This book also teaches you how to extract features from text data using spaCy, classify news and assign sentiment scores, and to use gensim to model topics and learn word embeddings from financial reports. You will also build and evaluate neural networks, including RNNs and CNNs, using Keras and PyTorch to exploit unstructured data for sophisticated strategies. Finally, you will apply transfer learning to satellite images to predict economic activity and use reinforcement learning to build agents that learn to trade in the OpenAI Gym.
Table of Contents (23 chapters)

Summary

In this chapter, we introduced convolutional networks, a specialized neural network architecture that has taken cues from our (limited) understanding of human vision, and performs particularly well on grid-like data. We covered the central operation of convolution or cross-correlation that drives the discovery of filters, which, in turn, detects features that are useful for solving the task at hand.

We reviewed several state-of-the-art architectures that are good starting points, especially because transfer learning enables us to reuse pre-trained weights, and reduce the otherwise rather computationally and data-intensive training effort. We also saw that Keras makes it relatively straightforward to implement and train a diverse set of deep CNN architectures.

In the next chapter, we will turn our attention to recurrent neural networks (RNNs), which are designed specifically...