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Learning Quantitative Finance with R

You're reading from   Learning Quantitative Finance with R Implement machine learning, time-series analysis, algorithmic trading and more

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Product type Paperback
Published in Mar 2017
Publisher Packt
ISBN-13 9781786462411
Length 284 pages
Edition 1st Edition
Languages
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Authors (2):
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PRASHANT VATS PRASHANT VATS
Author Profile Icon PRASHANT VATS
PRASHANT VATS
Dr. Param Jeet Dr. Param Jeet
Author Profile Icon Dr. Param Jeet
Dr. Param Jeet
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Toc

Table of Contents (10) Chapters Close

Preface 1. Introduction to R 2. Statistical Modeling FREE CHAPTER 3. Econometric and Wavelet Analysis 4. Time Series Modeling 5. Algorithmic Trading 6. Trading Using Machine Learning 7. Risk Management 8. Optimization 9. Derivative Pricing

K means algorithm


The K means algorithm is an unsupervised machine learning algorithm. Unsupervised learning is another way of classifying the data as it does not require labeling of the data. In reality, there are many instances where labeling of the data is not possible, so we require them to classify data based on unsupervised learning. Unsupervised learning uses the similarity between data elements and assigns each data point to its relevant cluster. Each cluster has a set of data points which are similar in nature. The K means algorithm is the most basic unsupervised learning algorithm and it just requires data to plug into the algorithm along with the number of clusters we would like it to cluster returning the vector of cluster labeling for each data point. I used normalized data along with the number of clusters. I used the in-sample data which was used during logistic regression, to be divided into three clusters.

set.seed() is used to have the same output in every iteration; without...

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