Hands-On Machine Learning for Algorithmic Trading

Multinomial logistic regression

Logistic regression also provides a multinomial training option that is faster and more accurate than the one-versus-all implementation. We use the lbfgs solver (see the sklearn documentation linked on GitHub for details):

multi_logreg = LogisticRegression(C=1e9, multi_class='multinomial',                                   solver='lbfgs')multi_logreg.fit(train_dtm_numeric.astype(float), train.stars)y_pred_class = multi_logreg.predict(test_dtm_numeric.astype(float))

This model improves the performance to 74.6% accuracy:

accuracy_score(test.stars, y_pred_class)0.7464488070176475

In this case, tuning the regularization parameter C did not lead to very significant improvements (see the notebook).