Hands-On Machine Learning for Algorithmic Trading

Machine Learning for Trading

Algorithmic trading relies on computer programs that execute algorithms to automate some, or all, elements of a trading strategy. Algorithms are a sequence of steps or rules to achieve a goal and can take many forms. In the case of machine learning (ML), algorithms pursue the objective of learning other algorithms, namely rules, to achieve a target based on data, such as minimizing a prediction error.

These algorithms encode various activities of a portfolio manager who observes market transactions and analyzes relevant data to decide on placing buy or sell orders. The sequence of orders defines the portfolio holdings that, over time, aim to produce returns that are attractive to the providers of capital, taking ...