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Python for Finance Cookbook

You're reading from   Python for Finance Cookbook Over 50 recipes for applying modern Python libraries to financial data analysis

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Product type Paperback
Published in Jan 2020
Publisher Packt
ISBN-13 9781789618518
Length 432 pages
Edition 1st Edition
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Author (1):
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Eryk Lewinson Eryk Lewinson
Author Profile Icon Eryk Lewinson
Eryk Lewinson
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Table of Contents (12) Chapters Close

Preface 1. Financial Data and Preprocessing 2. Technical Analysis in Python FREE CHAPTER 3. Time Series Modeling 4. Multi-Factor Models 5. Modeling Volatility with GARCH Class Models 6. Monte Carlo Simulations in Finance 7. Asset Allocation in Python 8. Identifying Credit Default with Machine Learning 9. Advanced Machine Learning Models in Finance 10. Deep Learning in Finance 11. Other Books You May Enjoy

Implementing scikit-learn's pipelines

In the previous recipes, we showed all the steps required to build a machine learning model —starting with loading data, splitting it into a training and a test set, imputing missing values, encoding categorical features, and—lastly—fitting a decision tree classifier.

The process requires multiple steps to be executed in a certain order, which can sometimes be tricky with a lot of modifications to the pipeline mid-work. That is why scikit-learn introduced Pipelines. By using Pipelines, we can sequentially apply a list of transformations to the data, and then train a given estimator (model).

One important point to be aware of is that the intermediate steps of the Pipeline must have the fit and transform methods (the final estimator only needs the fit method, though). Using Pipelines has several benefits:

  • The flow...
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