Machine Learning for Factor Investing
Python Version
1st Edition
Published on 8. August 2023
Book
Hardback
340 pages
978-0-367-63974-7 (ISBN)
Description
Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for non-specialists to join the bandwagon, as the jargon and coding requirements may seem out-of-reach. Machine learning for factor investing: Python version bridges this gap. It provides a comprehensive tour of modern ML-based investment strategies that rely on firm characteristics.
The book covers a wide array of subjects which range from economic rationales to rigorous portfolio back-testing and encompass both data processing and model interpretability. Common supervised learning algorithms such as tree models and neural networks are explained in the context of style investing and the reader can also dig into more complex techniques like autoencoder asset returns, Bayesian additive trees and causal models.
All topics are illustrated with self-contained Python code samples and snippets that are applied to a large public dataset that contains over 90 predictors. The material is available online so that readers can reproduce and enhance the examples at their convenience. If you have even a basic knowledge of quantitative finance, this combination of theoretical concepts and practical illustrations will help you learn quickly and deepen your financial and technical expertise.
The book covers a wide array of subjects which range from economic rationales to rigorous portfolio back-testing and encompass both data processing and model interpretability. Common supervised learning algorithms such as tree models and neural networks are explained in the context of style investing and the reader can also dig into more complex techniques like autoencoder asset returns, Bayesian additive trees and causal models.
All topics are illustrated with self-contained Python code samples and snippets that are applied to a large public dataset that contains over 90 predictors. The material is available online so that readers can reproduce and enhance the examples at their convenience. If you have even a basic knowledge of quantitative finance, this combination of theoretical concepts and practical illustrations will help you learn quickly and deepen your financial and technical expertise.
Reviews / Votes
"Machine learning is considered promising for investment management applications, yet the associated low signal to noise ratio presents a high bar for improving on the incumbent quant asset management tooling. The book of Coqueret and Guida is a treat for those who do not want to lose sight of the machine learning forest for the trees. Whether you are an academic scholar or a finance practitioner, you will learn just what you need to rigorously investigate machine learning techniques for factor investing applications, along with plenty of useful code snippets."-Harald Lohre, Executive Director of Research at Robeco and Honorary Researcher at Lancaster University Management School
"Written by two experts on quantitative finance, this book covers everything from basic materials to advanced techniques in the field of quantitative investment strategies: data processing, alpha signal generation, portfolio optimization, backtesting and performance evaluation. Concrete examples related to asset management problems illustrate each machine learning technique, such as neural network, lasso regression, autoencoder or reinforcement learning. With more than 20 coding exercises and solutions provided in Python, this publication is a must for both students, academics and professionals who are looking for an up-to-date technical exposition on quantitative asset management from basic smart beta portfolios to enhanced alpha strategies including factor investing."
-Thierry Roncalli, Head of Quantitative Portfolio Strategy at Amundi Institute, Amundi Asset Management
More details
Series
Language
English
Place of publication
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
Professional and scholarly
Professional Practice & Development
Illustrations
7 s/w Abbildungen, 81 farbige Abbildungen, 1 Farbfoto bzw. farbiges Rasterbild, 7 s/w Zeichnungen, 80 farbige Zeichnungen, 15 s/w Tabellen
15 Tables, black and white; 80 Line drawings, color; 7 Line drawings, black and white; 1 Halftones, color; 81 Illustrations, color; 7 Illustrations, black and white
Dimensions
Height: 260 mm
Width: 183 mm
Thickness: 24 mm
Weight
868 gr
ISBN-13
978-0-367-63974-7 (9780367639747)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Book
08/2023
1st Edition
Chapman & Hall/CRC
€125.50
Shipment within 15-20 days
E-Book
08/2023
1st Edition
Chapman & Hall/CRC
€96.49
Available for download
E-Book
08/2023
1st Edition
Chapman & Hall/CRC
€96.49
Available for download
Persons
Guillaume Coqueret is associate professor of finance and data science at EMLYON Business School. His recent research revolves around applications of machine learning tools in financial economics.
Tony Guida is co-head of Systematic Macro at RAM Active Investments. He is the editor and co-author of Big Data and Machine Learning in Quantitative Investment.
Tony Guida is co-head of Systematic Macro at RAM Active Investments. He is the editor and co-author of Big Data and Machine Learning in Quantitative Investment.
Content
Part 1. Introduction 1. Notations and data 2. Introduction 3. Factor investing and asset pricing anomalies 4. Data preprocessing Part 2. Common supervised algorithms 5. Penalized regressions and sparse hedging for minimum variance portfolios 6. Tree-based methods 7. Neural networks 8. Support vector machines 9. Bayesian methods Part 3. From predictions to portfolios 10. Validating and tuning 11. Ensemble models 12. Portfolio backtesting Part 4. Further important topics 13. Interpretability 14. Two key concepts: causality and non-stationarity 15. Unsupervised learning 16. Reinforcement learning Part 5. Appendix 17. Data description 18. Solutions to exercises