Financial Signal Processing and Machine Learning PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Financial Signal Processing and Machine Learning PDF full book. Access full book title Financial Signal Processing and Machine Learning by Ali N. Akansu. Download full books in PDF and EPUB format.
Author: Ali N. Akansu
Publisher: John Wiley & Sons
ISBN: 1118745639
Category : Technology & Engineering
Languages : en
Pages : 312
Get Book Here
Book Description
The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading researchers and practitioners in both the signal and information processing communities, and the quantitative finance community.
Author: Ali N. Akansu
Publisher: John Wiley & Sons
ISBN: 1118745639
Category : Technology & Engineering
Languages : en
Pages : 312
Get Book Here
Book Description
The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading researchers and practitioners in both the signal and information processing communities, and the quantitative finance community.
Author: Ali N. Akansu
Publisher: John Wiley & Sons
ISBN: 1118745671
Category : Technology & Engineering
Languages : en
Pages : 324
Get Book Here
Book Description
The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading researchers and practitioners in both the signal and information processing communities, and the quantitative finance community.
Author: Marcos Lopez de Prado
Publisher: John Wiley & Sons
ISBN: 1119482119
Category : Business & Economics
Languages : en
Pages : 395
Get Book Here
Book Description
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.
Author: Max A. Little
Publisher: Oxford University Press, USA
ISBN: 0198714939
Category : Computers
Languages : en
Pages : 378
Get Book Here
Book Description
Describes in detail the fundamental mathematics and algorithms of machine learning (an example of artificial intelligence) and signal processing, two of the most important and exciting technologies in the modern information economy. Builds up concepts gradually so that the ideas and algorithms can be implemented in practical software applications.
Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
Get Book Here
Book Description
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.
Author: Francesco Camastra
Publisher: Springer
ISBN: 144716735X
Category : Computers
Languages : en
Pages : 564
Get Book Here
Book Description
This second edition focuses on audio, image and video data, the three main types of input that machines deal with when interacting with the real world. A set of appendices provides the reader with self-contained introductions to the mathematical background necessary to read the book. Divided into three main parts, From Perception to Computation introduces methodologies aimed at representing the data in forms suitable for computer processing, especially when it comes to audio and images. Whilst the second part, Machine Learning includes an extensive overview of statistical techniques aimed at addressing three main problems, namely classification (automatically assigning a data sample to one of the classes belonging to a predefined set), clustering (automatically grouping data samples according to the similarity of their properties) and sequence analysis (automatically mapping a sequence of observations into a sequence of human-understandable symbols). The third part Applications shows how the abstract problems defined in the second part underlie technologies capable to perform complex tasks such as the recognition of hand gestures or the transcription of handwritten data. Machine Learning for Audio, Image and Video Analysis is suitable for students to acquire a solid background in machine learning as well as for practitioners to deepen their knowledge of the state-of-the-art. All application chapters are based on publicly available data and free software packages, thus allowing readers to replicate the experiments.
Author: Stefan Jansen
Publisher: Packt Publishing Ltd
ISBN: 1839216786
Category : Business & Economics
Languages : en
Pages : 822
Get Book Here
Book Description
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.
Author: Paulo S. R. Diniz
Publisher: Cambridge University Press
ISBN: 9781139433501
Category : Technology & Engineering
Languages : en
Pages : 678
Get Book Here
Book Description
Digital signal processing lies at the heart of the communications revolution and is an essential element of key technologies such as mobile phones and the Internet. This book covers all the major topics in digital signal processing (DSP) design and analysis, supported by MatLab examples and other modelling techniques. The authors explain clearly and concisely why and how to use digital signal processing systems; how to approximate a desired transfer function characteristic using polynomials and ratio of polynomials; why an appropriate mapping of a transfer function on to a suitable structure is important for practical applications; and how to analyse, represent and explore the trade-off between time and frequency representation of signals. An ideal textbook for students, it will also be a useful reference for engineers working on the development of signal processing systems.
Author: Ervin Sejdic
Publisher: CRC Press
ISBN: 1351061216
Category : Medical
Languages : en
Pages : 1235
Get Book Here
Book Description
Within the healthcare domain, big data is defined as any ``high volume, high diversity biological, clinical, environmental, and lifestyle information collected from single individuals to large cohorts, in relation to their health and wellness status, at one or several time points.'' Such data is crucial because within it lies vast amounts of invaluable information that could potentially change a patient's life, opening doors to alternate therapies, drugs, and diagnostic tools. Signal Processing and Machine Learning for Biomedical Big Data thus discusses modalities; the numerous ways in which this data is captured via sensors; and various sample rates and dimensionalities. Capturing, analyzing, storing, and visualizing such massive data has required new shifts in signal processing paradigms and new ways of combining signal processing with machine learning tools. This book covers several of these aspects in two ways: firstly, through theoretical signal processing chapters where tools aimed at big data (be it biomedical or otherwise) are described; and, secondly, through application-driven chapters focusing on existing applications of signal processing and machine learning for big biomedical data. This text aimed at the curious researcher working in the field, as well as undergraduate and graduate students eager to learn how signal processing can help with big data analysis. It is the hope of Drs. Sejdic and Falk that this book will bring together signal processing and machine learning researchers to unlock existing bottlenecks within the healthcare field, thereby improving patient quality-of-life. Provides an overview of recent state-of-the-art signal processing and machine learning algorithms for biomedical big data, including applications in the neuroimaging, cardiac, retinal, genomic, sleep, patient outcome prediction, critical care, and rehabilitation domains. Provides contributed chapters from world leaders in the fields of big data and signal processing, covering topics such as data quality, data compression, statistical and graph signal processing techniques, and deep learning and their applications within the biomedical sphere. This book’s material covers how expert domain knowledge can be used to advance signal processing and machine learning for biomedical big data applications.
Author: Stephen P. Banks
Publisher:
ISBN:
Category : Computers
Languages : en
Pages : 432
Get Book Here
Book Description
