You're reading from Machine Learning for Algorithmic Trading Predictive models to extract signals from market and alternative data for systematic trading strategies with Python

Product type Paperback

Published in Jul 2020

Publisher Packt

ISBN-13 9781839217715

Length 820 pages

Edition 2nd Edition

Languages

Python

Tools

TensorFlow

Concepts

Machine Learning

Author (1):

Stefan Jansen

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Table of Contents (27) Chapters

Preface

1. Machine Learning for Trading – From Idea to Execution

2. Market and Fundamental Data – Sources and Techniques FREE CHAPTER

3. Alternative Data for Finance – Categories and Use Cases

4. Financial Feature Engineering – How to Research Alpha Factors

5. Portfolio Optimization and Performance Evaluation

6. The Machine Learning Process

7. Linear Models – From Risk Factors to Return Forecasts

8. The ML4T Workflow – From Model to Strategy Backtesting

9. Time-Series Models for Volatility Forecasts and Statistical Arbitrage

10. Bayesian ML – Dynamic Sharpe Ratios and Pairs Trading

11. Random Forests – A Long-Short Strategy for Japanese Stocks

12. Boosting Your Trading Strategy

13. Data-Driven Risk Factors and Asset Allocation with Unsupervised Learning

14. Text Data for Trading – Sentiment Analysis

15. Topic Modeling – Summarizing Financial News

16. Word Embeddings for Earnings Calls and SEC Filings

17. Deep Learning for Trading

18. CNNs for Financial Time Series and Satellite Images

19. RNNs for Multivariate Time Series and Sentiment Analysis

20. Autoencoders for Conditional Risk Factors and Asset Pricing

21. Generative Adversarial Networks for Synthetic Time-Series Data

22. Deep Reinforcement Learning – Building a Trading Agent

23. Conclusions and Next Steps

24. References

25. Index

Appendix: Alpha Factor Library

What's new in the second edition

This second edition emphasizes the end-to-end ML4T workflow, reflected in a new chapter on strategy backtesting (Chapter 8, The ML4T Workflow – From Model to Strategy Backtesting), a new appendix describing over 100 different alpha factors, and many new practical applications. We have also rewritten most of the existing content for clarity and readability.

The applications now use a broader range of data sources beyond daily US equity prices, including international stocks and ETFs, as well as minute-frequency equity data to demonstrate an intraday strategy. Also, there is now broader coverage of alternative data sources, including SEC filings for sentiment analysis and return forecasts, as well as satellite images to classify land use.

Furthermore, the book replicates several applications recently published in academic papers. Chapter 18, CNNs for Financial Time Series and Satellite Images, demonstrates how to apply convolutional neural networks to time series converted to image format for return predictions. Chapter 20, Autoencoders for Conditional Risk Factors and Asset Pricing, shows how to extract risk factors conditioned on stock characteristics for asset pricing using autoencoders. Chapter 21, Generative Adversarial Networks for Synthetic Time-Series Data, examines how to create synthetic training data using generative adversarial networks.

All applications now use the latest available (at the time of writing) software versions, such as pandas 1.0 and TensorFlow 2.2. There is also a customized version of Zipline that makes it easy to include machine learning model predictions when designing a trading strategy.