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Hands-On Machine Learning for Algorithmic Trading

You're reading from   Hands-On Machine Learning for Algorithmic Trading Design and implement investment strategies based on smart algorithms that learn from data using Python

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Product type Paperback
Published in Dec 2018
Publisher Packt
ISBN-13 9781789346411
Length 684 pages
Edition 1st Edition
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Authors (2):
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Jeffrey Yau Jeffrey Yau
Author Profile Icon Jeffrey Yau
Jeffrey Yau
Stefan Jansen Stefan Jansen
Author Profile Icon Stefan Jansen
Stefan Jansen
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Table of Contents (23) Chapters Close

Preface 1. Machine Learning for Trading 2. Market and Fundamental Data FREE CHAPTER 3. Alternative Data for Finance 4. Alpha Factor Research 5. Strategy Evaluation 6. The Machine Learning Process 7. Linear Models 8. Time Series Models 9. Bayesian Machine Learning 10. Decision Trees and Random Forests 11. Gradient Boosting Machines 12. Unsupervised Learning 13. Working with Text Data 14. Topic Modeling 15. Word Embeddings 16. Deep Learning 17. Convolutional Neural Networks 18. Recurrent Neural Networks 19. Autoencoders and Generative Adversarial Nets 20. Reinforcement Learning 21. Next Steps 22. Other Books You May Enjoy

Topic Modeling

In the last chapter, we converted unstructured text data into a numerical format using the bag-of-words model. This model abstracts from word order and represents documents as word vectors, where each entry represents the relevance of a token to the document.

The resulting document-term matrix (DTM), (you may also come across the transposed term-document matrix) is useful to compare documents to each other or to a query vector based on their token content, and quickly find a needle in a haystack or classify documents accordingly.

However, this document model is both high-dimensional and very sparse. As a result, it does little to summarize the content or get closer to understanding what it is about. In this chapter, we will use unsupervised machine learning in the form of topic modeling to extract hidden themes from documents. These themes can produce detailed insights...

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