December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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Explore, extract, and engineer features
Understanding the distribution of individual variables and the relationships among outcomes and features is the basis for picking a suitable algorithm. This typically starts with visualizations such as scatter plots, as illustrated in the companion notebook (and shown in the following image), but also includes numerical evaluations ranging from linear metrics, such as the correlation, to nonlinear statistics, such as the Spearman rank correlation coefficient that we encountered when we introduced the information coefficient. It also includes information-theoretic measures, such as mutual information, as illustrated in the next subsection:
Scatter plots
A systematic exploratory analysis is also the ...