Learning Algorithms for Trading

Supervised machine learning

• Regression
• Classification
• Parametric
• Instance-based
• Overview: LinReg, KNN, Decision Trees, ANN

How ML fits into the computing at a hedge fund

• Long/short

Time series prediction as an ML problem

[note: need to create fake stock data that has embedded patterns]

Assessing a learning algorithm

• Now that we have two, (linreg & KNN), let's compare them
• RMS error
• Scatterplot predict vs actual
• Corrcoef