TY  - BOOK
AU  - Jansen, Stefan
TI  - Machine learning for algorithmic trading: predictive models to extract signals from market and alternative data for systematic trading strategies with Python 
SN  - 9781839217715
U1  - 332.1028 JAN-S 
PY  - 2020///
CY  - India
PB  - Packt Publishing
KW  - Machine learning
KW  - Python (Computer program language)
KW  - Finance--Data processing
KW  - Finance--Statistical methods
N1  - 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 the 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
ER  -