Difference between revisions of "Machine Learning for Trading Course"
| Line 9: | Line 9: | ||
* Mini-course 3: [[Machine Learning Algorithms for Trading]] | * Mini-course 3: [[Machine Learning Algorithms for Trading]] | ||
| − | =2015 Schedule= | + | ==2015 Schedule== |
[[2015 Schedule]] | [[2015 Schedule]] | ||
| Line 36: | Line 36: | ||
How to install the software: [[ML4T Software Installation]] | How to install the software: [[ML4T Software Installation]] | ||
| + | |||
| + | ==Logistics== | ||
| + | |||
| + | * We will use Udacity for submission of code. See the video of how to log into Udacity here: https://www.youtube.com/watch?v=pyqirZW_sT8 | ||
| + | * We will use t-square for submission of reports. | ||
==Grading== | ==Grading== | ||
| Line 44: | Line 49: | ||
Percentage weights for each of these is still being determined. | Percentage weights for each of these is still being determined. | ||
| − | |||
| − | |||
| − | |||
| − | |||
==Minimum technical requirements== | ==Minimum technical requirements== | ||
| Line 77: | Line 78: | ||
* http://www.deanofstudents.gatech.edu/content/25/absences | * http://www.deanofstudents.gatech.edu/content/25/absences | ||
| − | |||
| − | |||
| − | |||
Revision as of 17:07, 13 August 2015
Contents
Overview
This course introduces students to the real world challenges of implementing machine learning based trading strategies including the algorithmic steps from information gathering to market orders. The focus is on how to apply probabilistic machine learning approaches to trading decisions. We consider statistical approaches like linear regression, Q-Learning, KNN and regression trees and how to apply them to actual stock trading situations.
This course is composed of three mini-courses:
- Mini-course 1: Manipulating Financial Data in Python
- Mini-course 2: Computational Investing
- Mini-course 3: Machine Learning Algorithms for Trading
2015 Schedule
Textbooks
We will use the following textbooks:
- For Mini-course 1: Python for Finance by Yves Hilpisch amazon.com
- For Mini-course 2: What Hedge Funds Really Do by Romero and Balch amazon.com
- For Mini-course 3: Machine Learning by Tom Mitchell amazon.com less expensive version at mcgraw hill
Prerequisites/Co-requisites
All types of students are welcome! The Machine Learning topics might be "review" for CS students, while finance parts will be review for finance students. However, even if you have experience in these topics, you will find that we consider them in a different way than you might have seen before, in particular with an eye towards implementation for trading.
If you answer "no" to the following questions, it may be beneficial to refresh your knowledge of the prerequisite material prior to taking CS 7646:
- Do you have a working knowledge of basic statistics, including probability distributions (such as normal and uniform), calculation and differences between mean, median and mode
- Do you understand the difference between geometric mean and arithmetic mean?
- Do you have strong programming skills? Take this quiz compinvesti-prog-quiz if you would like help determining the strength of your programming skills.
Who this course is for: The course is intended for people with strong software programming experience and introductory level knowledge of investment practice. A primary prerequisite is an interest and excitement about the stock market.
Software we'll use: In order to complete the programming assignments you will need to a development environment that you're comfortable with. We use Unix, but you can also work with Windows and Mac OS environments. You must download and install a set of Python modules to your computer (including NumPy, SciPy, and Pandas).
How to install the software: ML4T Software Installation
Logistics
- We will use Udacity for submission of code. See the video of how to log into Udacity here: https://www.youtube.com/watch?v=pyqirZW_sT8
- We will use t-square for submission of reports.
Grading
- Mini-course 1: Two homework assignments and two programming projects.
- Mini-course 2: Two homework assignments, two programming projects, and a test.
- Mini-course 3: Three programming projects and a test.
Percentage weights for each of these is still being determined.
Minimum technical requirements
- Browser and connection speed: An up-to-date version of Chrome or Firefox is strongly recommended. We also support Internet Explorer 9 and the desktop versions of Internet Explorer 10 and above (not the metro versions). 2+ Mbps recommended; at minimum 0.768 Mbps download speed.
- Hardware: A computer with at least 4GB of RAM and CPU speed of at least 2.5GHz.
- OS:
- PC: Windows XP or higher with latest updates installed
- Mac: OS X 10.6 or higher with latest updates installed
- Linux: Any recent distribution that has the supported browsers installed
Office hours
To be determined.
Plagiarism
In most cases I expect that all submitted code will be written by you. I will present some libraries in class that you are allowed to use (such as pandas and numpy). Otherwise, all source code, images and write-ups you provide should have been created by you alone.
Instructor information
Absences
In order to reschedule an exam, you will need to have it approved by the Dean of Students. You can apply for that here:
