目次
Preamble, Financial Machine Learning as a Distinct Subject -- Part 1, Data Analysis. Financial Data Structures ; Labeling ; Sample Weights ; Fractionally Differentiated Features -- Part 2, Modelling. Ensemble Methods ; Cross-validation in Finance ; Feature Importance ; Hyper-parameter Tuning with Cross-Validation -- Part 3, Backtesting. Bet Sizing ; The Dangers of Backtesting ; Backtesting through Cross-Validation ; Backtesting on Synthetic Data ; Backtest Statistics ; Understanding Strategy Risk ; Machine Learning Asset Allocation -- Part 4, Useful Financial Features. Structural Breaks ; Entropy Features ; Microstructural Features -- Part 5, High-Performance Computing Recipes. Multiprocessing and Vectorization ; Brute Force and Quantum Computers ; High-Performance Computational Intelligence and Forecasting Technologies / Kesheng Wu and Horst Simon
