ML4Trading

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ML4TradingOverview

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Machine Learning for Trading 2013

keywords: algorithmic, algorithms, trading, machine learning, ML, finance, equities, markets, quantitative finance, georgia tech, gt, Tucker Balch

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Course Overview

This course introduces students to the real world challenges of implementing machine learning based trading strategies including the algorithmic steps from information gathering to market orders. The focus is on how to apply probabilistic machine learning approaches to trading decisions. We consider statistical approaches like linear regression, KNN and regression trees and how to apply them to actual stock trading situations.

Who the Course is For

The course is open to and intended for graduate and upper level undergraduate students in Computing, ISYE, Math & Management.

Prerequisites: Students should have strong coding skills and some familiarity with equity markets. No finance or machine learning experience is assumed. Here's a short test to check if you have strong programming skills: quiz. If you don't do well on that quiz, you should either drop the course, or be sure to plan so that you can devote extra time to the course.

Note that this course serves CS major students with machine learning experience, as well as students in other majors such as ISYE, MGMT, or MATH who have different experiences. All types of students are welcome! The ML topics might be "review" for CS students, while finance parts will be review for finance students. However, even if you have experience in these topics, you will find that we consider them in a different way than you might have seen before, in particular with an eye towards implementation for trading.

Student Responsibilities

  • Read the emails sent to the course email list. Check at least daily.
  • Participate in class and via the piazza site.
  • Don't plagiarize.

Course Logistics

Goals For the Course

By the end of this course, students should be able to:

  • Understand data structures used for algorithmic trading.
  • Know how to construct software to access live equity data, assess it, and make trading decisions.
  • Understand 3 popular machine learning algorithms and how to apply them to trading problems.
  • Understand how to assess a machine learning algorithm's performance for time series data (stock price data).
  • Know how and why data mining (machine learning) techniques fail.
  • Construct a stock trading software system that uses current daily data.

Some limitations/constraints:

  • We use daily data. This is not an HFT course, but many of the concepts here are relevant.
  • We don't interact (trade) directly with the market, but we will generate equity allocations that you could trade if you wanted to.

Grading

  • Projects: 60% (Projects 1, 2, 3, 20% each)
  • Midterm Exam: 10%
  • Homework: 30% (Coursera component of the course, and pop quizzes)

Late Policy

  • -5% per day late

Plagiarism

In most cases I expect all code that you submit was written by you. I will present some libraries in class that you are allowed to use (such as pandas and numpy). Otherwise, all source code, images and write ups you provide should have been created by you alone.

What is allowed:

  • Meeting with other students to discuss implementations. You should talk about solutions at the pseudo code level.
  • Sharing snippets of code to solve specific (small) problems such as examples of how to address sections of arrays in Python. In this case the shared code should not be more than 5 lines.
  • Searching the web for other solution outlines that you may draw on (but not copy directly). If you are inspired by a solution on the web, you MUST cite that code with comments in your code.

What is not allowed:

  • Copying sections of code longer than 5 lines. Note that merely changing variable names does not suffice.
  • Copying code from the web.
  • Use of ideas from the web that are not cited in comments.

August

DATE ------------------------ TOPICS-------------------------------------------------------------- NOTES---------------------------------------

Follow coursera course.

September

DATE ------------------------ TOPICS-------------------------------------------------------------- NOTES---------------------------------------

Follow coursera course

October

Complete coursera course, then start here

DATE ------------------------ TOPICS-------------------------------------------------------------- NOTES---------------------------------------
XXXXXX XXX XX Video: [1]

Cramer's Guide to the Stock Market

XXXXXX XXX XX Efficient Markets Hypothesis (3 versions)

Technical analysis
Fundamental analysis
A bit about data

Paper of interest: Markets are efficient iff P=NP

XXXXXX XXX XX Exam Prep

Instance-based learning
Andrew Moore's slides [[2]] Linear regression
KNN introduction

XXXXXX XXX XX Recap of KNN

Formulation of problem in context of time series

XXXXXX XXX XX

Recap of approach to KNN (making problem fit KNN)
Overfitting.
Assessing a learning algorithm.


November

DATE ------------------------ TOPICS-------------------------------------------------------------- NOTES---------------------------------------
XXXXXX XXX XX

Simplified to learn simpler "straight" data
Assessing a learning algorithm.

XXXXXX XXX XX Decision Trees

How to use one if you have one
How to learn one
Seminal paper on trees: Quinlan Paper
Overfitting.
Cross validation
Roll forward cross validation

XXXXXX XXX XX Random Trees

Decision Trees Recap
Data Structure for Decision Trees
Ensemble learners wikipedia
Bagging wikipedia
Boosting wikipedia
Bagging and boosting trees Diettrich
Perfect Ensembles of Random Trees Cutler
Use technical indicator to generate trades
Random forests (Project 3)

XXXXXX XXX XX Random Forests

Definition of RF Project
Tricks with leaves
NaNs
Regression Leaves

XXXXXX XXX XX tbd
XXXXXX XXX XX Yes we will have class on this day

Integrating your learner with a trader Project

XXXXXX XXX XX Thanksgiving (no class)
XXXXXX XXX XX More on integrating learner with trader
XXXXXX XXX XX Recap of Course Objectives

Class Survey Review
Student Review
Feature selection

December

DATE ------------------------ TOPICS-------------------------------------------------------------- NOTES---------------------------------------
XXXXXX XXX XX Random Forest Review and ML on Stock Data
XXXXXX XXX XX Project Random Forests Due
XXXXXX XXX XX Final Exam Week

No Class

XXXXXX XXX XX Final Exam Week

No Class

Combine ML & Trading Due

Slide Decks

Homework & Projects

Old Homework & Projects From Last Time

Other Resources

Projects from Past Versions of the Course

These are from last year. We will be changing them for this year.

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