Preamble
1. Financial Machine Learning as a Distinct Subject
Part 1: Data Analysis
2. Financial Data Structures
3. Labeling
4. Sample Weights
5. Fractionally Differentiated Features
Part 2: Modelling
6. Ensemble Methods
7. Cross-validation in Finance
8. Feature Importance
9. Hyper-parameter Tuning with Cross-Validation
Part 3: Backtesting
10. Bet Sizing
11. The Dangers of Backtesting
12. Backtesting through Cross-Validation
13. Backtesting on Synthetic Data
14. Backtest Statistics
15. Understanding Strategy Risk
16. Machine Learning Asset Allocation
Part 4: Useful Financial Features
17. Structural Breaks
18. Entropy Features
19. Microstructural Features
Part 5: High-Performance Computing Recipes
20. Multiprocessing and Vectorization
21. Brute Force and Quantum Computers
22. High-Performance Computational Intelligence and Forecasting Technologies
Dr. Kesheng Wu and Dr. Horst Simon
Index
· · · · · · (收起)
具體描述
Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for generations. Readers will learn how to structure Big data in a way that is amenable to ML algorithms; how to conduct research with ML algorithms on that data; how to use supercomputing methods; how to backtest your discoveries while avoiding false positives. The book addresses real-life problems faced by practitioners on a daily basis, and explains scientifically sound solutions using math, supported by code and examples. Readers become active users who can test the proposed solutions in their particular 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.
用戶評價
神作，需要N刷。核心是討論一般機器學習方法在金融時間序列這種特定數據類型上應用的一些問題，比如交叉驗證、迴測過擬閤等等。不是講策略開發或者投資方法的書。大部分內容作者都發錶過，可以看作者主頁http://www.quantresearch.info/或者SSRN。
評分 評分##實習中閱讀並實踐瞭書裏的一些內容，忍不住感嘆：Masterpiece！
評分 評分##比較失望，不過之前聽同事說起一些也算有心理準備瞭。
評分##很多想法還是很少見的，挺有參考價值的
評分 評分##實習中閱讀並實踐瞭書裏的一些內容，忍不住感嘆：Masterpiece！
相關圖書
本站所有内容均为互联网搜索引擎提供的公开搜索信息，本站不存储任何数据与内容，任何内容与数据均与本站无关，如有需要请联系相关搜索引擎包括但不限于百度，google,bing,sogou 等
© 2025 book.tinynews.org All Rights Reserved. 静思书屋 版权所有