Advances in Financial Machine Learning

Index

• Absolute return attribution method
• Accounting data
• Accuracy
  • binary classification problems and
  • measurement of
• AdaBoost implementation
• Adaptable I/O System (ADIOS)
• Alternative data
• Amihud's lambda
• Analytics
• Annualized Sharpe ratio
• Annualized turnover, in backtesting
• Asset allocation
  • classical areas of mathematics used in
  • covariance matrix in
  • diversification in
  • Markowitz's approach to
  • Monte Carlo simulations for
  • numerical example of
  • practical problems in
  • quasi-diagonalization in
  • recursive bisection in
  • risk-based. See also Risk-based asset allocation approaches
  • tree clustering approaches to
• Attribution
• Augmented Dickey-Fuller (ADF) test. See also Supremum augmented Dickey-Fuller (SADF) test
• Average holding period, in backtesting
• Average slippage per turnover

• Backfilled data
• Backtesters
• Backtesting
  • bet sizing in
  • common errors in
  • combinatorial purged cross-validation (CPCV) method in
  • cross-validation (CV) for
  • customization of
  • definition of
  • “false discovery” probability and
  • flawless completion as daunting task in
  • general recommendations on
  • machine learning asset allocation and
  • purpose of
  • as research tool
  • strategy risk and
  • strategy selection in
  • synthetic data in
  • uses of results of
  • walk-forward (WF) method of
• Backtest overfitting
  • backtesters’ evaluation of probability of
  • bagging to reduce
  • combinatorial purged cross-validation (CPCV) method for
  • concerns about risk of
  • cross-validation (CV) method and
  • decision trees and proneness to
  • definition of
  • discretionary portfolio ...