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Machine learning for factor investingPython version /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Machine learning for factor investingGuillaume Coqueret and Tony Guida.
其他題名:	Python version /
作者:	Coqueret, Guillaume.
其他作者:	Guida, Tony,
出版者:	Boca Raton, FL :Chapman & Hall/CRC Press,2023.
面頁冊數:	1 online resource (xviii, 340 p.)
標題:	InvestmentsData processing.
電子資源:	https://www.taylorfrancis.com/books/9781003121596
ISBN:	9781003121596$q(electronic bk.)

Machine learning for factor investingPython version /
Coqueret, Guillaume.

Machine learning for factor investingPython version /[electronic resource] :Guillaume Coqueret and Tony Guida. - 1st ed. - Boca Raton, FL :Chapman & Hall/CRC Press,2023. - 1 online resource (xviii, 340 p.) - Chapman and Hall/CRC financial mathematics series. - Chapman and Hall/CRC financial mathematics series..

Includes bibliographical references and index.

Part 1. Introduction 1. Notations and data 2. Introduction 3. Factor investing and asset pricing anomalies 4. Data preprocessing Part 2. Common supervised algorithms 5. Penalized regressions and sparse hedging for minimum variance portfolios 6. Tree-based methods 7. Neural networks 8. Support vector machines 9. Bayesian methods Part 3. From predictions to portfolios 10. Validating and tuning 11. Ensemble models 12. Portfolio backtesting Part 4. Further important topics 13. Interpretability 14. Two key concepts: causality and non-stationarity 15. Unsupervised learning 16. Reinforcement learning Part 5. Appendix 17. Data description 18. Solutions to exercises.

"Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for non-specialists to join the bandwagon, as the jargon and coding requirements may seem out-of-reach. Machine learning for factor investing: Python version bridges this gap. It provides a comprehensive tour of modern ML-based investment strategies that rely on firm characteristics. The book covers a wide array of subjects which range from economic rationales to rigorous portfolio back-testing and encompass both data processing and model interpretability. Common supervised learning algorithms such as tree models and neural networks are explained in the context of style investing and the reader can also dig into more complex techniques like autoencoder asset returns, Bayesian additive trees and causal models. All topics are illustrated with self-contained Python code samples and snippets that are applied to a large public dataset that contains over 90 predictors. The material, along with the content of the book, is available online so that readers can reproduce and enhance the examples at their convenience. If you have even a basic knowledge of quantitative finance, this combination of theoretical concepts and practical illustrations will help you learn quickly and deepen your financial and technical expertise"--

ISBN: 9781003121596$q(electronic bk.)Subjects--Topical Terms:

210067
Investments
--Data processing.

LC Class. No.: HG4515.5

Dewey Class. No.: 332.64/20285

Machine learning for factor investingPython version /
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490 1 $a Chapman and Hall/CRC financial mathematics series
504 $a Includes bibliographical references and index.
505 0 $a Part 1. Introduction 1. Notations and data 2. Introduction 3. Factor investing and asset pricing anomalies 4. Data preprocessing Part 2. Common supervised algorithms 5. Penalized regressions and sparse hedging for minimum variance portfolios 6. Tree-based methods 7. Neural networks 8. Support vector machines 9. Bayesian methods Part 3. From predictions to portfolios 10. Validating and tuning 11. Ensemble models 12. Portfolio backtesting Part 4. Further important topics 13. Interpretability 14. Two key concepts: causality and non-stationarity 15. Unsupervised learning 16. Reinforcement learning Part 5. Appendix 17. Data description 18. Solutions to exercises.
520 $a "Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for non-specialists to join the bandwagon, as the jargon and coding requirements may seem out-of-reach. Machine learning for factor investing: Python version bridges this gap. It provides a comprehensive tour of modern ML-based investment strategies that rely on firm characteristics. The book covers a wide array of subjects which range from economic rationales to rigorous portfolio back-testing and encompass both data processing and model interpretability. Common supervised learning algorithms such as tree models and neural networks are explained in the context of style investing and the reader can also dig into more complex techniques like autoencoder asset returns, Bayesian additive trees and causal models. All topics are illustrated with self-contained Python code samples and snippets that are applied to a large public dataset that contains over 90 predictors. The material, along with the content of the book, is available online so that readers can reproduce and enhance the examples at their convenience. If you have even a basic knowledge of quantitative finance, this combination of theoretical concepts and practical illustrations will help you learn quickly and deepen your financial and technical expertise"-- $c Provided by publisher.
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