Machine Learning for Trading

Udacity: https://classroom.udacity.com/courses/ud501

这么课程在Coursera上面也有,整个课程分为两个部分,但是在Cousera上面只放了前半部分。我整理了当时的 作业 答案

这个是他们的 教学主页 ,使用QSTK(Quant Software Toolkit)来做教学,在 github 上面也有源代码。

这么课程实践性非常强,即便是学完了如果没有实战的话,理解就只能停留在表面。


The Fundamental Law

IR = Information Ratio(reflects performance, sharpe ratio of excess return) = mean(alpha) / std(alpha) IC = Information Coefficient(reflects skills, correlation of forecasts to returns) IR = IC * sqrt(breadth=numbers of trading opportunities per year)

ml-for-trading-class-fundamental-law.png

Types of Funds

ml-for-trading-types-of-funds-0.png ml-for-trading-types-of-funds-1.png ml-for-trading-types-of-funds-2.png

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