Learning Algorithms for Trading
Contents
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]
Learner APIs
Linear regression
KNN
Assessing a learning algorithm
- Now that we have two, (linreg & KNN), let's compare them
- RMS error
- Scatterplot predict vs actual
- Corrcoef
