Machine Learning for Trading

01 process is edge2 章

1. 01Factor-Based Regime Detectionnotebook
2. 02Macro-Based Regime Detectionnotebook

02 financial data universe22 章

1. 03US Equities — Exploratory Data Analysisnotebook
2. 04Corporate Actions: Adjusting for Splits and Dividendsnotebook
3. 05ETFs — Exploratory Data Analysisnotebook
4. 06CME Futures — Exploratory Data Analysisnotebook
5. 07Futures Session Aggregation: Hourly to Dailynotebook
6. 08Constructing Continuous Futures Contractsnotebook
7. 09S&P 500 Options Analyticsnotebook
8. 10Options Greeks: From Theory to Computationnotebook

另有 14 章 · 进入站内阅读查看完整目录

03 market microstructure18 章

1. 25NASDAQ TotalView-ITCH: Order Book Data Parsingnotebook
2. 26Order Book Reconstruction from NASDAQ ITCH Messagesnotebook
3. 27LOB Analysis: Stylized Facts and Predictive Patternsnotebook
4. 28Order Lifecycle Analysis: From Submission to Cancellation or Executionnotebook
5. 29Trading Activity Overview: NASDAQ Market Structurenotebook
6. 30Intraday Patterns: Volume and Volatility Dynamicsnotebook
7. 31Microstructure Stylized Facts: Bid-Ask Bounce and Liquiditynotebook
8. 32DataBento MBO: Limit Order Book Reconstructionnotebook

另有 10 章 · 进入站内阅读查看完整目录

04 fundamental alternative data13 章

1. 43Chen-Pelger-Zhu Academic Asset Pricing Datasetnotebook
2. 44EdgarTools: Interactive SEC Filing Analysisnotebook
3. 45SEC Form 4: Insider Transaction Analysisnotebook
4. 46SEC XBRL Fundamentalsnotebook
5. 47Macro Data Loading: FRED Economic Seriesnotebook
6. 48Macro Data Alignment: Multi-Frequency Integrationnotebook
7. 49Futures Positioning: CFTC Commitment of Traders Analysisnotebook
8. 50On-Chain Fundamentals: DeFi TVL as Alternative Datanotebook

另有 5 章 · 进入站内阅读查看完整目录

05 synthetic data8 章

1. 56Chapter 5: Classical Simulation Methodsnotebook
2. 57TimeGAN: Time-series Generative Adversarial Networksnotebook
3. 58Tail-GAN: Learning to Generate Tail-Risk Preserving Scenariosnotebook
4. 59Chapter 5: Sig-WGAN - Signature-Based Wasserstein GANsnotebook
5. 60Chapter 5: GT-GAN - Neural ODEs for Irregular Time Seriesnotebook
6. 61Diffusion-TS: Interpretable Diffusion with Conditional Generationnotebook
7. 62Chapter 5: LLM-Based Tabular Data Generation (GReaT Framework)notebook
8. 63Chapter 5: Differential Privacy for Generative Modelsnotebook

06 strategy definition3 章

1. 64Where a trading idea meets the data — cross-asset momentum EDAnotebook
2. 65Cross-Validation for Financial Machine Learningnotebook
3. 66Case Study Overview: Cross-Strategy Summarynotebook

07 defining the learning task8 章

1. 67Data Quality Diagnosticsnotebook
2. 68Preprocessing Pipelinenotebook
3. 69Label Engineering Methodsnotebook
4. 70Maximum Favorable/Adverse Excursion (MFE/MAE) Analysisnotebook
5. 71Signal Evaluation: IC, Quantiles, and Spreadsnotebook
6. 72IC Inference: HAC Adjustment and Block Bootstrapnotebook
7. 73Mechanism Plausibility Checks for Feature Triagenotebook
8. 74The ml4t Library Ecosystemnotebook

08 financial features6 章

1. 75Price and Volume Feature Familiesnotebook
2. 76Microstructure Featuresnotebook
3. 77Structural and Cross-Instrument Featuresnotebook
4. 78Slow Features and Context: Fundamentals, Macro, Calendarnotebook
5. 79Feature Selection and Deduplicationnotebook
6. 80Robustness and Sensitivity Analysisnotebook