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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

Multilayer perceptrons for time series forecasting

Multilayer perceptrons (MLP) are one of the basic architectures of neural networks. At a very high level, they consist of three components:

  • The input layer: A vector of features.
  • The hidden layers: Each hidden layer consists of N neurons.
  • The output layer: Output of the network; depends on the task (regression/classification).

The input of each hidden layer is first transformed linearly (multiplication by weights and adding the bias term) and then non-linearly (by applying activation functions such as ReLU). Thanks to the non-linear activation, the network is able to model complex, non-linear relationships between the features and the target.

A multilayer perceptron contains multiple hidden layers (also called dense layers or fully connected layers) stacked against each other. The following diagram presents a network with a...

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