Implementing machine learning for finance : a systematic approach to predictive risk and performance analysis for investment portfolios / Tshepo Chris Nokeri.
2021
Q325.5
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Title
Implementing machine learning for finance : a systematic approach to predictive risk and performance analysis for investment portfolios / Tshepo Chris Nokeri.
Author
Nokeri, Tshepo Chris.
ISBN
9781484271100 (electronic bk.)
1484271106 (electronic bk.)
9781484271117 (print)
1484271114
1484271092
9781484271094
1484271106 (electronic bk.)
9781484271117 (print)
1484271114
1484271092
9781484271094
Publication Details
[Place of publication not identified] : Apress, 2021.
Language
English
Description
1 online resource
Item Number
10.1007/978-1-4842-7110-0 doi
Call Number
Q325.5
Dewey Decimal Classification
006.3/1
Summary
Bring together machine learning ()ML) and deep learning (DL) in financial trading, with an emphasis on investment management. This book explains systematic approaches to investment portfolio management, risk analysis, and performance analysis, including predictive analytics using data science procedures. The book introduces pattern recognition and future price forecasting that exerts effects on time series analysis models, such as the Autoregressive Integrated Moving Average (ARIMA) model, Seasonal ARIMA (SARIMA) model, and Additive model, and it covers the Least Squares model and the Long Short-Term Memory (LSTM) model. It presents hidden pattern recognition and market regime prediction applying the Gaussian Hidden Markov Model. The book covers the practical application of the K-Means model in stock clustering. It establishes the practical application of the Variance-Covariance method and Simulation method (using Monte Carlo Simulation) for value at risk estimation. It also includes market direction classification using both the Logistic classifier and the Multilayer Perceptron classifier. Finally, the book presents performance and risk analysis for investment portfolios. By the end of this book, you should be able to explain how algorithmic trading works and its practical application in the real world, and know how to apply supervised and unsupervised ML and DL models to bolster investment decision making and implement and optimize investment strategies and systems. You will: Understand the fundamentals of the financial market and algorithmic trading, as well as supervised and unsupervised learning models that are appropriate for systematic investment portfolio management Know the concepts of feature engineering, data visualization, and hyperparameter optimization Design, build, and test supervised and unsupervised ML and DL models Discover seasonality, trends, and market regimes, simulating a change in the market and investment strategy problems and predicting market direction and prices Structure and optimize an investment portfolio with preeminent asset classes and measure the underlying risk.
Note
Includes index.
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Digital File Characteristics
text file
PDF
Source of Description
Online resource; title from PDF title page (SpringerLink, viewed June 14, 2021).
Available in Other Form
Print version: 9781484271094
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Table of Contents
Chapter 1: Introduction to Financial Markets and Algorithmic Trading
Chapter 2: Forecasting Using ARIMA, SARIMA, and the Additive Model
Chapter 3: Univariate Time Series Using Recurrent Neural Nets
Chapter 4: Discover Market Regimes
Chapter 5: Stock Clustering
Chapter 6: Future Price Prediction Using Linear Regression
Chapter 7: Stock Market Simulation
Chapter 8: Market Trend Classification Using ML and DL
Chapter 9: Investment Portfolio and Risk Analysis.
Chapter 2: Forecasting Using ARIMA, SARIMA, and the Additive Model
Chapter 3: Univariate Time Series Using Recurrent Neural Nets
Chapter 4: Discover Market Regimes
Chapter 5: Stock Clustering
Chapter 6: Future Price Prediction Using Linear Regression
Chapter 7: Stock Market Simulation
Chapter 8: Market Trend Classification Using ML and DL
Chapter 9: Investment Portfolio and Risk Analysis.