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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

Decision Trees and Random Forests

In this chapter, we will learn about two new classes of machine learning (ML) models: decision trees and random forests. We will see how decision trees learn rules from data that encodes non-linear relationships between the input and the output variables. We will illustrate how to train a decision tree and use it for prediction for regression and classification problems, visualize and interpret the rules learned by the model, and tune the model's hyperparameters to optimize the bias-variance tradeoff and prevent overfitting. Decision trees are not only important standalone models but are also frequently used as components in other models.

In the second part of this chapter, we will introduce ensemble models that combine multiple individual models to produce a single aggregate prediction with lower prediction-error variance. We will illustrate...

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