Machine Learning for Financial Engineering 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 Machine Learning for Financial Engineering PDF full book. Access full book title Machine Learning for Financial Engineering by György Ottucsák. Download full books in PDF and EPUB format.
Author: György Ottucsák
Publisher: World Scientific
ISBN: 1848168136
Category : Business & Economics
Languages : en
Pages : 261
Get Book Here
Book Description
Preface v 1 On the History of the Growth-Optimal Portfolio M.M. Christensen 1 2 Empirical Log-Optimal Portfolio Selections: A Survey L. Györfi Gy. Ottucsáak A. Urbán 81 3 Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs L. Györfi H. Walk 119 4 Growth-Optimal Portfoho Selection with Short Selling and Leverage M. Horváth A. Urbán 153 5 Nonparametric Sequential Prediction of Stationary Time Series L. Györfi Gy. Ottucsák 179 6 Empirical Pricing American Put Options L. Györfi A. Telcs 227 Index 249.
Author: György Ottucsák
Publisher: World Scientific
ISBN: 1848168136
Category : Business & Economics
Languages : en
Pages : 261
Get Book Here
Book Description
Preface v 1 On the History of the Growth-Optimal Portfolio M.M. Christensen 1 2 Empirical Log-Optimal Portfolio Selections: A Survey L. Györfi Gy. Ottucsáak A. Urbán 81 3 Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs L. Györfi H. Walk 119 4 Growth-Optimal Portfoho Selection with Short Selling and Leverage M. Horváth A. Urbán 153 5 Nonparametric Sequential Prediction of Stationary Time Series L. Györfi Gy. Ottucsák 179 6 Empirical Pricing American Put Options L. Györfi A. Telcs 227 Index 249.
Author: Marcos Lopez de Prado
Publisher: John Wiley & Sons
ISBN: 1119482119
Category : Business & Economics
Languages : en
Pages : 400
Get Book Here
Book Description
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.
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: Hariom Tatsat
Publisher: "O'Reilly Media, Inc."
ISBN: 1492073008
Category : Computers
Languages : en
Pages : 432
Get Book Here
Book Description
Over the next few decades, machine learning and data science will transform the finance industry. With this practical book, analysts, traders, researchers, and developers will learn how to build machine learning algorithms crucial to the industry. You’ll examine ML concepts and over 20 case studies in supervised, unsupervised, and reinforcement learning, along with natural language processing (NLP). Ideal for professionals working at hedge funds, investment and retail banks, and fintech firms, this book also delves deep into portfolio management, algorithmic trading, derivative pricing, fraud detection, asset price prediction, sentiment analysis, and chatbot development. You’ll explore real-life problems faced by practitioners and learn scientifically sound solutions supported by code and examples. This book covers: Supervised learning regression-based models for trading strategies, derivative pricing, and portfolio management Supervised learning classification-based models for credit default risk prediction, fraud detection, and trading strategies Dimensionality reduction techniques with case studies in portfolio management, trading strategy, and yield curve construction Algorithms and clustering techniques for finding similar objects, with case studies in trading strategies and portfolio management Reinforcement learning models and techniques used for building trading strategies, derivatives hedging, and portfolio management NLP techniques using Python libraries such as NLTK and scikit-learn for transforming text into meaningful representations
Author: Matthew F. Dixon
Publisher: Springer Nature
ISBN: 3030410684
Category : Business & Economics
Languages : en
Pages : 565
Get Book Here
Book Description
This book introduces machine learning methods in finance. It presents a unified treatment of machine learning and various statistical and computational disciplines in quantitative finance, such as financial econometrics and discrete time stochastic control, with an emphasis on how theory and hypothesis tests inform the choice of algorithm for financial data modeling and decision making. With the trend towards increasing computational resources and larger datasets, machine learning has grown into an important skillset for the finance industry. This book is written for advanced graduate students and academics in financial econometrics, mathematical finance and applied statistics, in addition to quants and data scientists in the field of quantitative finance. Machine Learning in Finance: From Theory to Practice is divided into three parts, each part covering theory and applications. The first presents supervised learning for cross-sectional data from both a Bayesian and frequentist perspective. The more advanced material places a firm emphasis on neural networks, including deep learning, as well as Gaussian processes, with examples in investment management and derivative modeling. The second part presents supervised learning for time series data, arguably the most common data type used in finance with examples in trading, stochastic volatility and fixed income modeling. Finally, the third part presents reinforcement learning and its applications in trading, investment and wealth management. Python code examples are provided to support the readers' understanding of the methodologies and applications. The book also includes more than 80 mathematical and programming exercises, with worked solutions available to instructors. As a bridge to research in this emergent field, the final chapter presents the frontiers of machine learning in finance from a researcher's perspective, highlighting how many well-known concepts in statistical physics are likely to emerge as important methodologies for machine learning in finance.
Author: Hao Ni
Publisher: World Scientific
ISBN: 1786349388
Category : Business & Economics
Languages : en
Pages : 263
Get Book Here
Book Description
In today's world, we are increasingly exposed to the words 'machine learning' (ML), a term which sounds like a panacea designed to cure all problems ranging from image recognition to machine language translation. Over the past few years, ML has gradually permeated the financial sector, reshaping the landscape of quantitative finance as we know it.An Introduction to Machine Learning in Quantitative Finance aims to demystify ML by uncovering its underlying mathematics and showing how to apply ML methods to real-world financial data. In this book the authorsFeatured with the balance of mathematical theorems and practical code examples of ML, this book will help you acquire an in-depth understanding of ML algorithms as well as hands-on experience. After reading An Introduction to Machine Learning in Quantitative Finance, ML tools will not be a black box to you anymore, and you will feel confident in successfully applying what you have learnt to empirical financial data!
Author: Ben Wilson
Publisher: Simon and Schuster
ISBN: 1638356580
Category : Computers
Languages : en
Pages : 879
Get Book Here
Book Description
Field-tested tips, tricks, and design patterns for building machine learning projects that are deployable, maintainable, and secure from concept to production. In Machine Learning Engineering in Action, you will learn: Evaluating data science problems to find the most effective solution Scoping a machine learning project for usage expectations and budget Process techniques that minimize wasted effort and speed up production Assessing a project using standardized prototyping work and statistical validation Choosing the right technologies and tools for your project Making your codebase more understandable, maintainable, and testable Automating your troubleshooting and logging practices Ferrying a machine learning project from your data science team to your end users is no easy task. Machine Learning Engineering in Action will help you make it simple. Inside, you'll find fantastic advice from veteran industry expert Ben Wilson, Principal Resident Solutions Architect at Databricks. Ben introduces his personal toolbox of techniques for building deployable and maintainable production machine learning systems. You'll learn the importance of Agile methodologies for fast prototyping and conferring with stakeholders, while developing a new appreciation for the importance of planning. Adopting well-established software development standards will help you deliver better code management, and make it easier to test, scale, and even reuse your machine learning code. Every method is explained in a friendly, peer-to-peer style and illustrated with production-ready source code. About the technology Deliver maximum performance from your models and data. This collection of reproducible techniques will help you build stable data pipelines, efficient application workflows, and maintainable models every time. Based on decades of good software engineering practice, machine learning engineering ensures your ML systems are resilient, adaptable, and perform in production. About the book Machine Learning Engineering in Action teaches you core principles and practices for designing, building, and delivering successful machine learning projects. You'll discover software engineering techniques like conducting experiments on your prototypes and implementing modular design that result in resilient architectures and consistent cross-team communication. Based on the author's extensive experience, every method in this book has been used to solve real-world projects. What's inside Scoping a machine learning project for usage expectations and budget Choosing the right technologies for your design Making your codebase more understandable, maintainable, and testable Automating your troubleshooting and logging practices About the reader For data scientists who know machine learning and the basics of object-oriented programming. About the author Ben Wilson is Principal Resident Solutions Architect at Databricks, where he developed the Databricks Labs AutoML project, and is an MLflow committer.
Author: Marcos Lopez de Prado
Publisher: John Wiley & Sons
ISBN: 1119482089
Category : Business & Economics
Languages : en
Pages : 406
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: Abdullah Karasan
Publisher: "O'Reilly Media, Inc."
ISBN: 1492085200
Category : Computers
Languages : en
Pages : 334
Get Book Here
Book Description
Financial risk management is quickly evolving with the help of artificial intelligence. With this practical book, developers, programmers, engineers, financial analysts, risk analysts, and quantitative and algorithmic analysts will examine Python-based machine learning and deep learning models for assessing financial risk. Building hands-on AI-based financial modeling skills, you'll learn how to replace traditional financial risk models with ML models. Author Abdullah Karasan helps you explore the theory behind financial risk modeling before diving into practical ways of employing ML models in modeling financial risk using Python. With this book, you will: Review classical time series applications and compare them with deep learning models Explore volatility modeling to measure degrees of risk, using support vector regression, neural networks, and deep learning Improve market risk models (VaR and ES) using ML techniques and including liquidity dimension Develop a credit risk analysis using clustering and Bayesian approaches Capture different aspects of liquidity risk with a Gaussian mixture model and Copula model Use machine learning models for fraud detection Predict stock price crash and identify its determinants using machine learning models
Author: David Ruppert
Publisher: Springer
ISBN: 1493926144
Category : Business & Economics
Languages : en
Pages : 736
Get Book Here
Book Description
The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.
