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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Creating predictive models using linear regression methods

Now that we know how to get the datasets that we need, how to quantify what we are trying to predict (objectives), and how to split data into training and testing datasets to evaluate our trained models on, let's dive into applying some basic machine learning techniques to our datasets:

  • First, we will start with regression methods, which can be linear as well as non-linear.
  • Ordinary Least Squares (OLS) is the most basic linear regression model, which is where we will start from.
  • Then, we will look into Lasso and Ridge regression, which are extensions of OLS, but which include regularization and shrinkage features (we will discuss these aspects in more detail later).
  • Elastic Net is ...
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Publisher Resources

ISBN: 9781789348347Supplemental Content