Book Details


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

Publication year: 2021

ISBN: 978-1-4842-7110-0

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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. 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

Subject: Machine Learning, Python, Financial Technology and Innovation, Deep Learning, Finance, Investment Portfolio, Investment Risk Analysis, Stock Market, Algorithmic Trading, Supervised Machine Learning