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.
614
4
부
알고리즘 트레이딩
모든 알고리즘 트레이딩 전략은 랜덤워크 가설에 대해 해당 전략이 우월함을 증명해야 한다.
이 장의 핵심은
13
장에서 소개한 머신러닝 알고리즘을 적용하는 것이다. 대부분의 알고리즘은
분류 문제용 알고리즘으로 과거의 로그 수익률 데이터나 그 변형된 형태를 특징 데이터로 사용
했다. 이렇게 한 것은 단지 단순함과 편리함 때문이었다. 또한 이 분석은 여러 가지 단순화 가
정을 기반으로 이루어졌다. 그 이유는 분석의 주 목적이 머신러닝 알고리즘을 금융 시계열 데
이터에 적용하여 금융 시장의 방향을 예측하는 것이었기 때문이다.
15.9
참고 문헌
이 장에서 참고한 논문은 다음과 같다.
●
Brock
,
William
,
Josef
Lakonishok
,
and
Blake
LeBaron
(
1992
). “
Simple
Technical
Trading
Rules
and
the
Stochastic
Properties
of
Stock
Returns
.”
Journal of Finance
,
Vol
.
47
,
No
.
5
,
pp
.
1731
–
1764
.
●
Fama
,
Eugene
(
1965
). “
Random
Walks
in
Stock
Market
Prices
.”
Selected
Papers
,
No
.
16
,
Graduate
School
of
Business
,
University
of
Chicago
.
●
Jensen
,
Michael
(
1978
). “
Some
Anomalous
Evidence
Regarding
Market
Efficiency
.” ...
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.