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‎01_machine_learning_for_trading/README.md

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# Chapter 01: From Idea to Execution
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## How to read this book
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## The rise of ML in the investment industry
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### From electronic to high-frequency trading
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- [High Frequency Trading: Overview of Recent Developments](https://fas.org/sgp/crs/misc/R44443.pdf), Congressional Research Service, 2016
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### Factor investing and smart beta funds
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### Algorithmic pioneers outperform humans at scale
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### ML and alternative data
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- [Can We Predict the Financial Markets Based on Google's Search Queries?](https://onlinelibrary.wiley.com/doi/abs/10.1002/for.2446), Perlin, et al, 2016, Journal of Forecasting
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## Design and execution of a trading strategy
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### Sourcing and managing data
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### Alpha factor research and evaluation
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### Portfolio optimization and risk management
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### Strategy backtesting
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## ML and algorithmic trading strategies
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### Categories of algorithmic strategies
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### How ML fits into the process
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## References
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- [The fundamental law of active management](http://jpm.iijournals.com/content/15/3/30), Richard C. Grinold, The Journal of Portfolio Management Spring 1989, 15 (3) 30-37
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- [The relationship between return and market value of common stocks](https://www.sciencedirect.com/science/article/pii/0304405X81900180), Rolf Banz,Journal of Financial Economics, March 1981
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- [The Arbitrage Pricing Theory: Some Empirical Results](https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.1981.tb00444.x), Marc Reinganum, Journal of Finance, 1981
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- [The Relationship between Earnings' Yield, Market Value and Return for NYSE Common Stock](https://pdfs.semanticscholar.org/26ab/311756099c8f8c4e528083c9b90ff154f98e.pdf), Sanjoy Basu, Journal of Financial Economics, 1982
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### News
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- [The Rise of the Artificially Intelligent Hedge Fund](https://www.wired.com/2016/01/the-rise-of-the-artificially-intelligent-hedge-fund/#comments), Wired, 25-01-2016
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- [Crowd-Sourced Quant Network Allocates Most Ever to Single Algo](https://www.bloomberg.com/news/articles/2018-08-02/crowd-sourced-quant-network-allocates-most-ever-to-single-algo), Bloomberg, 08-02-2018
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- [Goldman Sachs’ lessons from the ‘quant quake’](https://www.ft.com/content/fdfd5e78-0283-11e7-aa5b-6bb07f5c8e12), Financial Times, 03-08-2017
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- [Lessons from the Quant Quake resonate a decade later](https://www.ft.com/content/a7a04d4c-83ed-11e7-94e2-c5b903247afd), Financial Times, 08-18-2017
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- [Smart beta funds pass $1tn in assets](https://www.ft.com/content/bb0d1830-e56b-11e7-8b99-0191e45377ec), Financial Times, 12-27-2017
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- [BlackRock bets on algorithms to beat the fund managers](https://www.ft.com/content/e689a67e-2911-11e8-b27e-cc62a39d57a0), Financial Times, 03-20-2018
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- [Smart beta: what’s in a name?](https://www.ft.com/content/d1bdabaa-a9f0-11e7-ab66-21cc87a2edde), Financial Times, 11-27-2017
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- [Computer-driven hedge funds join industry top performers](https://www.ft.com/content/9981c870-e79a-11e6-967b-c88452263daf), Financial Times, 02-01-2017
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- [Quants Rule Alpha’s Hedge Fund 100 List](https://www.institutionalinvestor.com/article/b1505pmf2v2hg3/quants-rule-alphas-hedge-fund-100-list), Institutional Investor, 06-26-2017
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- [The Quants Run Wall Street Now](https://www.wsj.com/articles/the-quants-run-wall-street-now-1495389108), Wall Street Journal, 05-21-2017
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- ['We Don’t Hire MBAs': The New Hedge Fund Winners Will Crunch The Better Data Sets](https://www.cbinsights.com/research/algorithmic-hedge-fund-trading-winners/), cbinsights, 06-28-2018
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- [Artificial Intelligence: Fusing Technology and Human Judgment?](https://blogs.cfainstitute.org/investor/2017/09/25/artificial-intelligence-fusing-technology-and-human-judgment/), CFA Institute, 09-25-2017
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- [The Hot New Hedge Fund Flavor Is 'Quantamental'](https://www.bloomberg.com/news/articles/2017-08-25/the-hot-new-hedge-fund-flavor-is-quantamental-quicktake-q-a), Bloomberg, 08-25-2017
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- [Robots Are Eating Money Managers’ Lunch](https://www.bloomberg.com/news/articles/2017-06-20/robots-are-eating-money-managers-lunch), Bloomberg, 06-20-2017
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- [Rise of Robots: Inside the World's Fastest Growing Hedge Funds](https://www.bloomberg.com/news/articles/2017-06-20/rise-of-robots-inside-the-world-s-fastest-growing-hedge-funds), Bloomberg, 06-20-2017
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- [When Silicon Valley came to Wall Street](https://www.ft.com/content/ba5dc7ca-b3ef-11e7-aa26-bb002965bce8), Financial Times, 10-28-2017
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- [BlackRock bulks up research into artificial intelligence](https://www.ft.com/content/4f5720ce-1552-11e8-9376-4a6390addb44), Financial Times, 02-19-2018
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- [AQR to explore use of ‘big data’ despite past doubts](https://www.ft.com/content/3a8f69f2-df34-11e7-a8a4-0a1e63a52f9c), Financial Times, 12-12-2017
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- [Two Sigma rapidly rises to top of quant hedge fund world](https://www.ft.com/content/dcf8077c-b823-11e7-9bfb-4a9c83ffa852), Financial Times, 10-24-2017
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- [When Silicon Valley came to Wall Street](https://www.ft.com/content/ba5dc7ca-b3ef-11e7-aa26-bb002965bce8), Financial Times, 10-28-2017
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- [Artificial intelligence (AI) in finance - six warnings from a central banker](https://www.bundesbank.de/en/press/speeches/artificial-intelligence--ai--in-finance--six-warnings-from-a-central-banker-711602), Deutsche Bundesbank, 02-27-2018
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- [Fintech: Search for a super-algo](https://www.ft.com/content/5eb91614-bee5-11e5-846f-79b0e3d20eaf), Financial Times, 01-20-2016
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- [Barron’s Top 100 Hedge Funds](https://www.barrons.com/articles/top-100-hedge-funds-1524873705)
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- [How high-frequency trading hit a speed bump](https://www.ft.com/content/d81f96ea-d43c-11e7-a303-9060cb1e5f44), FT, 01-01-2018
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## Resources
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### Books
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- [Advances in Financial Machine Learning](https://www.wiley.com/en-us/Advances+in+Financial+Machine+Learning-p-9781119482086), Marcos Lopez de Prado, 2018
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- [Quantresearch](http://www.quantresearch.info/index.html) by Marcos López de Prado
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- [Quantitative Trading](http://epchan.blogspot.com/), Ernest Chan
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#### Machine Learning
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- [Machine Learning](http://www.cs.cmu.edu/~tom/mlbook.html), Tom Mitchell, McGraw Hill, 1997
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- [An Introduction to Statistical Learning](http://www-bcf.usc.edu/~gareth/ISL/), Gareth James et al.
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- Excellent reference for essential machine learning concepts, available free online
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- [Bayesian Reasoning and Machine Learning](http://web4.cs.ucl.ac.uk/staff/D.Barber/textbook/091117.pdf), Barber, D., Cambridge University Press, 2012 (updated version available on author's website)
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### Courses
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- [Algorithmic Trading](http://personal.stevens.edu/~syang14/fe670.htm), Prof. Steve Yang, Stevens Institute of Technology
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- [Machine Learning](https://www.coursera.org/learn/machine-learning), Andrew Ng, Coursera
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- [](http://deeplearning.ai/), Andrew Ng
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- Andrew Ng’s introductory deep learning course
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### Python Libraries
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- matplotlib [docs]( <https://github.com/matplotlib/matplotlib)
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- numpy [docs](https://github.com/numpy/numpy)
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- pandas [docs](https://github.com/pydata/pandas)
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- scipy [docs](https://github.com/scipy/scipy)
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- seaborn [docs](https://github.com/mwaskom/seaborn)
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- statsmodels [docs](https://github.com/statsmodels/statsmodels)
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- [Boosting numpy: Why BLAS Matters](http://markus-beuckelmann.de/blog/boosting-numpy-blas.html)
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