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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 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 build a neural network using Python

To gain a better understanding of how neural networks work, we will formulate the preceding architecture and forward propagation computations using matrix algebra and implement it using NumPy, the Python counterpart of linear algebra.

The input layer

The preceding architecture is designed for two-dimensional input data, X, which represent two different classes, Y. In matrix form, both X and Y are of shape N x 2, as follows:

We will generate 50,000 random samples in the form of two concentric circles with different radii using scikit-learn's make_circles function so that the classes are not linearly separable, as follows:

N = 50000
factor = 0.1
noise = 0.1
X, y = make_circles(n_samples...
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