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Implementing Machine Learning for Finance: A Systematic Approach to Predictive Risk and Performance Analysis for Investment Portfolios de Tshepo Chris Nokeri

Implementing Machine Learning for Finance: A Systematic Approach to Predictive Risk and Performance Analysis for Investment Portfolios

Autor Tshepo Chris Nokeri
en Limba Engleză Paperback – 27 mai 2021
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.


What You Will Learn
  • 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


Who This Book Is For

Beginning and intermediate data scientists, machine learning engineers, business executives, and finance professionals (such as investment analysts and traders)
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Specificații

ISBN-13: 9781484271094
ISBN-10: 1484271092
Pagini: 182
Ilustrații: XVIII, 182 p. 53 illus.
Dimensiuni: 155 x 235 mm
Greutate: 0.29 kg
Ediția:1st ed.
Editura: Apress
Colecția Apress
Locul publicării:Berkeley, CA, United States

Cuprins

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.

Notă biografică

Tshepo Chris Nokeri harnesses big data, advanced analytics, and artificial intelligence to foster innovation and optimize business performance. In his functional work, he has delivered complex solutions to companies in the mining, petroleum, and manufacturing industries. He initially completed a bachelor’s degree in information management. He then graduated with an honors degree in business science at the University of the Witwatersrand on a TATA Prestigious Scholarship and a Wits Postgraduate Merit Award. They unanimously awarded him the Oxford University Press Prize. He has authored the Apress book Data Science Revealed: With Feature Engineering, Data Visualization, Pipeline Development, and Hyperparameter Tuning.

Textul de pe ultima copertă

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


Caracteristici

Bridges the gap between finance and data science by presenting a systematic method for structuring, analyzing, and optimizing an investment portfolio and its underlying asset classes Covers supervised and unsupervised machine learning (ML) models and deep learning (DL) models, including techniques of testing, validating, and optimizing model performance Presents a diverse range of machine learning libraries (such as statsmodels, scikit-learn, Auto ARIMA, and FB Prophet) and covers the Keras DL framework plus the Pyfolio package for portfolio risk analysis and performance analysis