Source: ML4T Book — 2nd Edition (PDF)
- File:
raw/Machine Learning for Algorithmic Trading (2nd Edition).pdf - Author: Stefan Jansen
- Published: July 2020 (Packt Publishing)
- Pages: 858
- Extraction method: pypdf (PdfReader) — extracted ToC pages 9-29
สรุปเนื้อหา
หนังสือ 858 หน้า 23 chapters ครอบคลุม ML4T workflow ครบ end-to-end ตั้งแต่ data sourcing → feature engineering → ML models → backtesting → evaluation
โครงสร้างหนังสือแบ่งเป็น 6 กลุ่ม:
- Data (Ch 1-5): market data, alternative data, feature engineering, portfolio optimization
- ML Foundations (Ch 6-8): ML process, linear models, backtesting workflow
- Classical ML (Ch 9-13): time series, Bayesian ML, random forests, boosting, unsupervised
- NLP (Ch 14-16): sentiment analysis, topic modeling, word embeddings
- Deep Learning (Ch 17-21): feedforward NN, CNN, RNN, autoencoders, GANs
- RL + Conclusions (Ch 22-23): deep RL trading agent, key lessons
จุดเด่น: ทุก chapter มี working code + notebooks, emphasis บน practical pitfalls (lookahead bias, survivorship bias, multiple testing), cross-validates กับ real data
Pages สร้างจาก source นี้
- ML4T Book 2nd Edition — entity page หลัก (chapter structure ครบ)
- Algorithmic Trading — domain concept (created alongside)