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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
Languages
Concepts
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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 FREE CHAPTER 2. Market and Fundamental Data 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

How to train a neural network

The goal of neural network training is to adjust the hidden and output layer parameters to best predict new data based on training samples. Backpropagation, often simply called backprop, ensures that the information about the performance of the current parameter values gleaned from the evaluation of the cost function for one or several samples flows back to parameters and facilitates optimal updates.

Backpropagation refers to the computation of the gradient of the function that relates the internal parameters that we wish to update to the cost function. The gradient is useful because it indicates the direction of parameter change, which causes the maximal increase in the cost function. Hence, adjusting the parameters in the direction of the negative gradient should produce an optimal cost reduction for the observed samples, as we saw in Chapter 6...

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