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Hands-On Machine Learning for Algorithmic Trading
book

Hands-On Machine Learning for Algorithmic Trading

by Stefan Jansen
December 2018
Beginner to intermediate
684 pages
21h 9m
English
Packt Publishing
Content preview from Hands-On Machine Learning for Algorithmic Trading

Analytical tools for diagnostics and feature extraction

Time series data is a sequence of values separated by discrete time intervals that are typically even-spaced (except for missing values). A time series is often modeled as a stochastic process consisting of a collection of random variables, y(t1), ..., y(tT), with one variable for each point in time, ti , i=1, ..., T. A univariate time series consists of a single value, y, at each point in time, whereas a multivariate time series consists of several observations that can be represented by a vector.

The number of periods, Δt= ti - tj, between distinct points in time, ti, tj, is called lag, with T-1 lags for each time series. Just as relationships between different variables at a given ...

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Publisher Resources

ISBN: 9781789346411Supplemental Content