Guillaume Coqueret, Tony Guida

Machine Learning for Factor Investing: R Version

• Broschiertes Buch

Produktbeschreibung

The aim of the book is to give an interpretation of ML tools through the lens of factor investing. Concepts illustrated with examples on the same (public) dataset throughout the book. Provides code samples and the corresponding results so that anybody can reproduce the steps.

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Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Ltd
• Seitenzahl: 342
• Erscheinungstermin: 1. September 2020
• Englisch
• Abmessung: 178mm x 254mm x 22mm
• Gewicht: 702g
• ISBN-13: 9780367545864
• ISBN-10: 0367545861
• Artikelnr.: 60012152

Autorenporträt

Guillaume Coqueret is associate professor of finance and data science at EMLYON Business School. His recent research revolves around applications of machine learning tools in financial economics. Tony Guida is executive director at RAM Active Investments. He serves as chair of the machineByte think tank and is the author of Big Data and Machine Learning in Quantitative Investment.

Inhaltsangabe

1. Preface 2. Notations and data 3. Introduction 4. Factor investing and
asset pricing anomalies 5. Data preprocessing 6. Penalized regressions and
sparse hedging for minimum variance portfolios 8. Neural networks 7.
Tree-based methods 9. Support vector machines 10. Bayesian methods 11.
Validating and tuning 12. Ensemble models 13. Portfolio backtesting 14.
Interpretability 15. Two key concepts: causality and non-stationarity 16.
Unsupervised learning 17. Reinforcement learning