5 ms·

Anyone have any good books I can read to learn a bit more about this sort of application? I really like the finance stuff, feels like a natural marriage with DS

by 07121941 5y ago

Anyone have any good books I can read to learn a bit more about this sort of application? I really like the finance stuff, feels like a natural marriage with DS and ML. I don't know nearly enough to expand on what I mean.

Dopameaner 5y ago
Advances in Financial Machine Learning by Marcos Lopez de Prado is one of the best books i read last year. Especially on back testing, strategy risk are my fav.
- andyxor 5y ago
  way overrated imo, you will learn neither finance nor ML from this book, don't spend your money on this. Given author's tendency for excessive self-promotion I would take any of his advice with a grain of a salt. Besides he seems to have lost a ton of money for AQR, given his short tenure there. People who make money rarely publish. if someone is really interested in finance and ML learn each on its own, in finance start with Hull Derivatives, in ML may be some coursera course. Also quantstart blog has excellent tutorials and 'getting started' guides.
  - person_of_color 5y ago
    Agreed. why does this get rated by everyone on the internet? I read it, and it's total amateur hour. Just the code examples are bewildering and atrocious. Still looking for an alternastive.
  - deleted 5y ago
    [deleted]
  - 92eandsa9a 5y ago
    Working in the field (HFT market maker) and agree with this assessment. The book is pretty useless in practice - it's basically a vehicle of self promotion for his academic career.
    - canaryyellow 5y ago
      What books would u recommend from ur experience? That aren't self promotion
      - 92eandsa9a 5y ago
        "Trading and Exchanges: Market Microstructure for Practitioners" is a good introductory book that covers how markets work on a high level. It doesn't teach you how to build profitable systems. That you won't find anywhere anyway.
        hardwaresofton 5y ago
        Link for the lazy of a Draft Copy available made in 2002: http://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Trading-Exchanges-Market-Microstructure-Practitioners%20Draft%20Copy.pdf http://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Tradin... Also a weird book-like slide set that explains what the book is about (and the very important concepts/market participants): https://rkbookreviews.files.wordpress.com/2013/12/trading-and-exchanges.pdf https://rkbookreviews.files.wordpress.com/2013/12/trading-an...
        arthurcolle 5y ago
        This book is great for complete non practitioners. It was such a great read in 2015 when I graduated and went to work at a large broker-dealer.
        Dopameaner 5y ago
        Thanks for the recommendations. Since, I dont work on the field as closely and mostly on a observatory capacity. Ill take a look at the recommendations.
    - anon_tor_12345 5y ago
      >it's basically a vehicle of self promotion for his academic career i would say that a full ~25% of technical books are this - solely for the purposes of building brand rather than communicating effectively.
  - boyka 5y ago
    Worked in the field, read the book. Strongly agree that the book is essentially useless. Hull is a good starting point.
deleted 5y ago
[deleted]
max_ 5y ago
Read "Beat the market: A scientific stock market system" by Edward Thorp
leethargo 5y ago
Not strictly ML, but "Optimization Methods in Finance" by Cornuejols et al [1] a great reference. It introduces optimization algorithms and modeling technique as well as finance applications in alternating chapters. [1] https://doi.org/10.1017/9781107297340 https://doi.org/10.1017/9781107297340

Dopameaner 5y ago

Advances in Financial Machine Learning by Marcos Lopez de Prado is one of the best books i read last year. Especially on back testing, strategy risk are my fav.

andyxor 5y ago
way overrated imo, you will learn neither finance nor ML from this book, don't spend your money on this. Given author's tendency for excessive self-promotion I would take any of his advice with a grain of a salt. Besides he seems to have lost a ton of money for AQR, given his short tenure there. People who make money rarely publish. if someone is really interested in finance and ML learn each on its own, in finance start with Hull Derivatives, in ML may be some coursera course. Also quantstart blog has excellent tutorials and 'getting started' guides.
- person_of_color 5y ago
  Agreed. why does this get rated by everyone on the internet? I read it, and it's total amateur hour. Just the code examples are bewildering and atrocious. Still looking for an alternastive.
- deleted 5y ago
  [deleted]
- 92eandsa9a 5y ago
  Working in the field (HFT market maker) and agree with this assessment. The book is pretty useless in practice - it's basically a vehicle of self promotion for his academic career.
  - canaryyellow 5y ago
    What books would u recommend from ur experience? That aren't self promotion
    - 92eandsa9a 5y ago
      "Trading and Exchanges: Market Microstructure for Practitioners" is a good introductory book that covers how markets work on a high level. It doesn't teach you how to build profitable systems. That you won't find anywhere anyway.
      - hardwaresofton 5y ago
        Link for the lazy of a Draft Copy available made in 2002: http://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Trading-Exchanges-Market-Microstructure-Practitioners%20Draft%20Copy.pdf http://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Tradin... Also a weird book-like slide set that explains what the book is about (and the very important concepts/market participants): https://rkbookreviews.files.wordpress.com/2013/12/trading-and-exchanges.pdf https://rkbookreviews.files.wordpress.com/2013/12/trading-an...
      - arthurcolle 5y ago
        This book is great for complete non practitioners. It was such a great read in 2015 when I graduated and went to work at a large broker-dealer.
      - Dopameaner 5y ago
        Thanks for the recommendations. Since, I dont work on the field as closely and mostly on a observatory capacity. Ill take a look at the recommendations.
  - anon_tor_12345 5y ago
    >it's basically a vehicle of self promotion for his academic career i would say that a full ~25% of technical books are this - solely for the purposes of building brand rather than communicating effectively.
- boyka 5y ago
  Worked in the field, read the book. Strongly agree that the book is essentially useless. Hull is a good starting point.

deleted 5y ago

[deleted]

max_ 5y ago

Read "Beat the market: A scientific stock market system" by Edward Thorp

leethargo 5y ago

Not strictly ML, but "Optimization Methods in Finance" by Cornuejols et al [1] a great reference. It introduces optimization algorithms and modeling technique as well as finance applications in alternating chapters. [1] https://doi.org/10.1017/9781107297340 https://doi.org/10.1017/9781107297340