Mastering Python for Finance - Second Edition

Feature engineering

A feature is an attribute of the data that defines its characteristic. By using domain knowledge of the data, features can be created to help machine learning algorithms increase their predictive performance. This can be as simple as grouping or bucketing related parts of the existing data to form defining features. Even removing unwanted features is also feature engineering.

As an example, suppose we have the following time series price data that looks like this:

No.	Date and Time	Price	Price Action
1	2019-01-02 09:00:01	55.00	UP
2	2019-01-02 10:03:42	45.00	DOWN
3	2019-01-02 10:31:23	48.00	UP
4	2019-01-02 11:14:02	33.00	DOWN

Grouping the time series into buckets ...