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[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

运维开发网 https://www.qedev.com 2020-05-25 12:39 出处:网络
a data-centric way to build predictive models       The ML problem     Supervised regression learning 

a data-centric way to build predictive models

 

 

 

The ML problem

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

Supervised regression learning 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

Robot navigation example 

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

 

 How it works with stock data

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

 

 Example at a fintech company

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

Price forecasting demo 

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

QuantDesk

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

factors we are using now <= choices of these factors are from another genetic algorithm 

 分享图片 分享图片

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression <= roll back time, and we look over all this last three months and look forward one month, see how accurate all those predictions were

 

 

https://lucenaresearch.com/#register

https://quantdesk.lucenaresearch.com/#login

 

 

Backtesting 

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

 ML tool in use

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

orange line => historical value of our portfolio

blue => benchmark (S&P500 here)

 

 

 

 

 

 Problems with regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

Problem we will focus on 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 





 

 

 

 

Parametric regression 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

 K nearest neighbor

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

 

 

 How to predict

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

 

 Kernel regression

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

Kernel regression is different from KNN, because it uses kernel to weight the contribution of each nearest point

 

 

 

 

 Parametric vs non parametric

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

Yes, the cannon ball distance can be best estimated using a parametric model, as it follows a well-defined trajectory.

On the other hand, the behavior of honey bees can be hard to model mathematically. Therefore, a non-parametric approach would be more suitable.

 

 

 

 Training and testing

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

typically: train on older data; test on newer data

look ahead bias occurs if training reversely

 

 

 

Learning APIs 

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 

 

 

 Example for linear regression

 

[Machine Learning for Trading] {ud501} Lesson 21: 03-01 How Machine Learning is used at a hedge fund | Lesson 22: 03-02 Regression

 Note: This is intended to be pseudo-code only, although some Python-specific syntax has been shown.

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