Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
Download or read book Advances in Financial Machine Learning written by Marcos Lopez de Prado and published by John Wiley & Sons. This book was released on 2018-01-23 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn to understand and implement the latest machine learning innovations to improve your investment performance Machine learning (ML) is changing virtually every aspect of our lives. Today, ML algorithms accomplish tasks that – until recently – only expert humans could perform. And finance is ripe for disruptive innovations that will transform how the following generations understand money and invest. In the book, readers will learn how to: Structure big data in a way that is amenable to ML algorithms Conduct research with ML algorithms on big data Use supercomputing methods and back test their discoveries while avoiding false positives Advances in Financial Machine Learning addresses real life problems faced by practitioners every day, and explains scientifically sound solutions using math, supported by code and examples. Readers become active users who can test the proposed solutions in their individual setting. Written by a recognized expert and portfolio manager, this book will equip investment professionals with the groundbreaking tools needed to succeed in modern finance.
Download or read book Machine Learning for Algorithmic Trading written by Stefan Jansen and published by Packt Publishing Ltd. This book was released on 2020-07-31 with total page 822 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage machine learning to design and back-test automated trading strategies for real-world markets using pandas, TA-Lib, scikit-learn, LightGBM, SpaCy, Gensim, TensorFlow 2, Zipline, backtrader, Alphalens, and pyfolio. Purchase of the print or Kindle book includes a free eBook in the PDF format. Key FeaturesDesign, train, and evaluate machine learning algorithms that underpin automated trading strategiesCreate a research and strategy development process to apply predictive modeling to trading decisionsLeverage NLP and deep learning to extract tradeable signals from market and alternative dataBook Description The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This revised and expanded second edition enables you to build and evaluate sophisticated supervised, unsupervised, and reinforcement learning models. This book introduces end-to-end machine learning for the trading workflow, from the idea and feature engineering to model optimization, strategy design, and backtesting. It illustrates this by using examples ranging from linear models and tree-based ensembles to deep-learning techniques from cutting edge research. This edition shows how to work with market, fundamental, and alternative data, such as tick data, minute and daily bars, SEC filings, earnings call transcripts, financial news, or satellite images to generate tradeable signals. It illustrates how to engineer financial features or alpha factors that enable an ML model to predict returns from price data for US and international stocks and ETFs. It also shows how to assess the signal content of new features using Alphalens and SHAP values and includes a new appendix with over one hundred alpha factor examples. By the end, you will be proficient in translating ML model predictions into a trading strategy that operates at daily or intraday horizons, and in evaluating its performance. What you will learnLeverage market, fundamental, and alternative text and image dataResearch and evaluate alpha factors using statistics, Alphalens, and SHAP valuesImplement machine learning techniques to solve investment and trading problemsBacktest and evaluate trading strategies based on machine learning using Zipline and BacktraderOptimize portfolio risk and performance analysis using pandas, NumPy, and pyfolioCreate a pairs trading strategy based on cointegration for US equities and ETFsTrain a gradient boosting model to predict intraday returns using AlgoSeek's high-quality trades and quotes dataWho this book is for If you are a data analyst, data scientist, Python developer, investment analyst, or portfolio manager interested in getting hands-on machine learning knowledge for trading, this book is for you. This book is for you if you want to learn how to extract value from a diverse set of data sources using machine learning to design your own systematic trading strategies. Some understanding of Python and machine learning techniques is required.
Download or read book LISS 2020 written by Shifeng Liu and published by Springer Nature. This book was released on 2021-04-10 with total page 1056 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the proceedings of the 10th International Conference on Logistics, Informatics and Service Sciences (LISS 2020), which is co-organized by Beijing Jiaotong University, Budapest University of Technology and Economics, in July 25–28 2020. This book focuses on the “AI and data-driven technical and management innovation in logistics, informatics and services” and aims to provide new research methods, theories and applications from various areas of management and engineering. In detail the included scientific papers analyse and describe communication processes in the fields of logistics, informatics, service sciences and other related areas. The variety of papers delivers added value for both scholars and practitioners. Information and communication technologies have been providing an effective network infrastructure and development platform for logistics and service operations.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Rough Sets and Current Trends in Computing written by Shusaku Tsumoto and published by Springer Science & Business Media. This book was released on 2004-05-21 with total page 871 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years rough set theory has attracted the attention of many researchers and practitioners all over the world, who have contributed essentially to its development and applications. Weareobservingagrowingresearchinterestinthefoundationsofroughsets, including the various logical, mathematical and philosophical aspects of rough sets. Some relationships have already been established between rough sets and other approaches, and also with a wide range of hybrid systems. As a result, rough sets are linked with decision system modeling and analysis of complex systems, fuzzy sets, neural networks, evolutionary computing, data mining and knowledge discovery, pattern recognition, machine learning, and approximate reasoning. In particular, rough sets are used in probabilistic reasoning, granular computing (including information granule calculi based on rough mereology), intelligent control, intelligent agent modeling, identi?cation of autonomous s- tems, and process speci?cation. Methods based on rough set theory alone or in combination with other - proacheshavebeendiscoveredwith awide rangeofapplicationsinsuchareasas: acoustics, bioinformatics, business and ?nance, chemistry, computer engineering (e.g., data compression, digital image processing, digital signal processing, p- allel and distributed computer systems, sensor fusion, fractal engineering), de- sion analysis and systems, economics, electrical engineering (e.g., control, signal analysis, power systems), environmental studies, informatics, medicine, mole- lar biology, musicology, neurology, robotics, social science, software engineering, spatial visualization, Web engineering, and Web mining.
Download or read book How can I get started Investing in the Stock Market written by Lokesh Badolia and published by Educreation Publishing. This book was released on 2016-10-27 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is well-researched by the author, in which he has shared the experience and knowledge of some very much experienced and renowned entities from stock market. We want that everybody should have the knowledge regarding the different aspects of stock market, which would encourage people to invest and earn without any fear. This book is just a step forward toward the knowledge of market.
Download or read book The 2021 International Conference on Machine Learning and Big Data Analytics for IoT Security and Privacy written by John Macintyre and published by Springer Nature. This book was released on 2021-10-27 with total page 1169 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the proceedings of the 2020 2nd International Conference on Machine Learning and Big Data Analytics for IoT Security and Privacy (SPIoT-2021), online conference, on 30 October 2021. It provides comprehensive coverage of the latest advances and trends in information technology, science and engineering, addressing a number of broad themes, including novel machine learning and big data analytics methods for IoT security, data mining and statistical modelling for the secure IoT and machine learning-based security detecting protocols, which inspire the development of IoT security and privacy technologies. The contributions cover a wide range of topics: analytics and machine learning applications to IoT security; data-based metrics and risk assessment approaches for IoT; data confidentiality and privacy in IoT; and authentication and access control for data usage in IoT. Outlining promising future research directions, the book is a valuable resource for students, researchers and professionals and provides a useful reference guide for newcomers to the IoT security and privacy field.
Download or read book Advances in Quantitative Asset Management written by Christian Dunis and published by Springer Science & Business Media. This book was released on 2000-04-30 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.
Download or read book On Market Timing and Investment Performance Part II Statistical Procedures for Evaluating Forecasting Skills written by Roy Henriksson and published by . This book was released on 2023-07-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Machine Learning based Pairs Trading Investment Strategy written by Simão Moraes Sarmento and published by Springer Nature. This book was released on 2020-07-13 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book investigates the application of promising machine learning techniques to address two problems: (i) how to find profitable pairs while constraining the search space and (ii) how to avoid long decline periods due to prolonged divergent pairs. It also proposes the integration of an unsupervised learning algorithm, OPTICS, to handle problem (i), and demonstrates that the suggested technique can outperform the common pairs search methods, achieving an average portfolio Sharpe ratio of 3.79, in comparison to 3.58 and 2.59 obtained using standard approaches. For problem (ii), the authors introduce a forecasting-based trading model capable of reducing the periods of portfolio decline by 75%. However, this comes at the expense of decreasing overall profitability. The authors also test the proposed strategy using an ARMA model, an LSTM and an LSTM encoder-decoder.
Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.
Download or read book Machine Learning for Asset Managers written by Marcos M. López de Prado and published by Cambridge University Press. This book was released on 2020-04-22 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules. The purpose of this Element is to introduce machine learning (ML) tools that can help asset managers discover economic and financial theories. ML is not a black box, and it does not necessarily overfit. ML tools complement rather than replace the classical statistical methods. Some of ML's strengths include (1) a focus on out-of-sample predictability over variance adjudication; (2) the use of computational methods to avoid relying on (potentially unrealistic) assumptions; (3) the ability to "learn" complex specifications, including nonlinear, hierarchical, and noncontinuous interaction effects in a high-dimensional space; and (4) the ability to disentangle the variable search from the specification search, robust to multicollinearity and other substitution effects.
Download or read book Emerging Technologies in Computer Engineering Microservices in Big Data Analytics written by Arun K. Somani and published by Springer. This book was released on 2019-05-17 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the Second International Conference on Emerging Technologies in Computer Engineering: Microservices in Big Data Analytics, ICETCE 2019, held in Jaipur, India, in February 2019. The 28 revised full papers along with 1 short paper presented were carefully reviewed and selected from 253 submissions. ICETCE conference aims to showcase advanced technologies, techniques, innovations and equipments in computer engineering. It provides a platform for researchers, scholars, experts, technicians, government officials and industry personnel from all over the world to discuss and share their valuable ideas and experiences.
Download or read book Innovative Data Communication Technologies and Application written by Jennifer S. Raj and published by Springer Nature. This book was released on 2020-01-30 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents emerging concepts in data mining, big data analysis, communication, and networking technologies, and discusses the state-of-the-art in data engineering practices to tackle massive data distributions in smart networked environments. It also provides insights into potential data distribution challenges in ubiquitous data-driven networks, highlighting research on the theoretical and systematic framework for analyzing, testing and designing intelligent data analysis models for evolving communication frameworks. Further, the book showcases the latest developments in wireless sensor networks, cloud computing, mobile network, autonomous systems, cryptography, automation, and other communication and networking technologies. In addition, it addresses data security, privacy and trust, wireless networks, data classification, data prediction, performance analysis, data validation and verification models, machine learning, sentiment analysis, and various data analysis techniques.
Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-07-16 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
Download or read book Challenges and Applications of Data Analytics in Social Perspectives written by Sathiyamoorthi, V. and published by IGI Global. This book was released on 2020-12-04 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: With exponentially increasing amounts of data accumulating in real-time, there is no reason why one should not turn data into a competitive advantage. While machine learning, driven by advancements in artificial intelligence, has made great strides, it has not been able to surpass a number of challenges that still prevail in the way of better success. Such limitations as the lack of better methods, deeper understanding of problems, and advanced tools are hindering progress. Challenges and Applications of Data Analytics in Social Perspectives provides innovative insights into the prevailing challenges in data analytics and its application on social media and focuses on various machine learning and deep learning techniques in improving practice and research. The content within this publication examines topics that include collaborative filtering, data visualization, and edge computing. It provides research ideal for data scientists, data analysts, IT specialists, website designers, e-commerce professionals, government officials, software engineers, social media analysts, industry professionals, academicians, researchers, and students.
