March 2022
Beginner to intermediate
796 pages
18h 14m
Korean
Content preview from 파이썬을 활용한 금융 분석(2판) : 파이썬의 기초부터 금융공학, 머신러닝, 퀀트 분석, 매매 시스템 구현까지
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
603
15
장
매매 전략
NOTE
_
특징값의 유형
이번 장에서는 과거의 수익률을 이진화하거나 디지털화하여 특징값으로 사용하고 있다. 이 값들은 금융 시계
열 자체에서 뽑을 수 있기 때문에 편의상 사용한 것이다. 하지만 실제 응용에서는 다양한 데이터 소스를 사
용하여 특징 데이터를 뽑는다. 거시경제지표, 회사의 금융지표, 뉴스 기사 등 다른 시계열 데이터나 통계치가
사용될 수 있다. 이 주제에 대한 더 깊은 논의는
López
de
Prado
(
2018
)를 참조한다.
tsfresh
(
https
://
github
.
com
/
blue
-
yonder
/
tsfresh
) 패키지와 같이 시계열에서 자동으로 특징을 추출해주는 파이썬 패
키지도 있다.
15.6.4
연속적 학습 - 검증 분리
다음 코드에서는 분류 알고리즘의 성능을 제대로 평가하기 위해 연속적 학습 -검증 분리
sequential
train
-
test
split
를 구현한다. 기본 아이디어는 시뮬레이션 시에도 특정 시점까지의 데이터만 사용하
여 머신러닝 알고리즘을 학습하는 것이다. 실제 매매에서 알고리즘은 지금까지 보지 못한 데이
터를 맞닥뜨리게 되는데 이 시점에서 알고리즘은 가치를 증명할 수 있어야 한다. 예제의 경우
에는 모든 알고리즘이 패시브 벤치마크 투자를 상회하는 성능을 보이지만 로지스틱 회귀와 가
우스 나이브 베이즈 ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.