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Machine Learning
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by mathematicalmonk
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machine learningmathematicsmodel fittingvalidationyoutube playlist
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Build the foundations
Suggested foundations for financial machine learning. Specialist prerequisites vary by resource.
Before you read
- Time-Ordered Train, Validation and Test Design
Preserve time order and avoid future information in training.
- Linear Regression
Establish an interpretable baseline before a flexible model.
Go further
- Finance-aware validation
Account for dependence and overlapping observations.
- Feature importance
Examine which information contributes to predictions.
Explore a related reading path
- From trading ideas to honest backtests
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.