Hands-On Machine Learning for Algorithmic Trading

Design and implement investment strategies based on smart algorithms that learn from data using Python

Publisher:Packt Publishing Limited

By: Stefan Jansen

Paid access

|Jun 2024

E-Book €39.99Institutions €137.95

Description

Explore effective trading strategies in real-world markets using NumPy, spaCy, pandas, scikit-learn, and Keras

Key Features

Implement machine learning algorithms to build, train, and validate algorithmic models
Create your own algorithmic design process to apply probabilistic machine learning approaches to trading decisions
Develop neural networks for algorithmic trading to perform time series forecasting and smart analytics

Book Description

The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This book enables you to use a broad range of supervised and unsupervised algorithms to extract signals from a wide variety of data sources and create powerful investment strategies.

This book shows how to access market, fundamental, and alternative data via API or web scraping and offers a framework to evaluate alternative data. You’ll practice the ML work?ow from model design, loss metric definition, and parameter tuning to performance evaluation in a time series context. You will understand ML algorithms such as Bayesian and ensemble methods and manifold learning, and will know how to train and tune these models using pandas, statsmodels, sklearn, PyMC3, xgboost, lightgbm, and catboost. This book also teaches you how to extract features from text data using spaCy, classify news and assign sentiment scores, and to use gensim to model topics and learn word embeddings from financial reports. You will also build and evaluate neural networks, including RNNs and CNNs, using Keras and PyTorch to exploit unstructured data for sophisticated strategies.

Finally, you will apply transfer learning to satellite images to predict economic activity and use reinforcement learning to build agents that learn to trade in the OpenAI Gym.

What you will learn

Implement machine learning techniques to solve investment and trading problems
Leverage market, fundamental, and alternative data to research alpha factors
Design and fine-tune supervised, unsupervised, and reinforcement learning models
Optimize portfolio risk and performance using pandas, NumPy, and scikit-learn
Integrate machine learning models into a live trading strategy on Quantopian
Evaluate strategies using reliable backtesting methodologies for time series
Design and evaluate deep neural networks using Keras, PyTorch, and TensorFlow
Work with reinforcement learning for trading strategies in the OpenAI Gym

Who this book is for

Hands-On Machine Learning for Algorithmic Trading is for data analysts, data scientists, and Python developers, as well as investment analysts and portfolio managers working within the finance and investment industry. If you want to perform efficient algorithmic trading by developing smart investigating strategies using machine learning algorithms, this is the book for you. Some understanding of Python and machine learning techniques is mandatory.