Reddit reviews Advances in Financial Machine Learning

I can easily think of an algo that is right 99% of the time and still loses money.

Since your payoff is not binary, you still have to deal with expected returns in the end

Try reading https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089/

I found a passage in Advances in Financial Machine Learning Advances in Financial OLS With Constructed Regressors that kind of explained this:

>"Discretionary portfolio managers (PMs) make investment decisions that do not follow a particular theory or rationale. They consume raw news and analyses, but mostly rely on their judgment or intuition. They may rationalize those decisions based on some story, but there is always a story for every decision. ... If you have ever attended a meeting of discretionary PMs, you probably noticed how long and aimless they can be. Each attendee seems obsessed about one particular piece of anecdotal information, and giant argumentative leaps are made without fact-based, empirical choices."

The financial press seems dedicated to providing these one off anecdotes so that PMs can justify their continued employment. I kind of want to try making a Markov twitter bot that tries to give daily reasons for market up/down turns.

Personally, I find that there's usually a theme for each week. I just sort of passively absorb enough Bloomberg and WSJ headlines until I figure out sometime on Tuesday what everyone is panicking about. Markets seem to have pretty short foresight, so the press usually seems really shocked about something that could be predicted from the data months ago (e.g. interest rate hikes, China tariffs being a large factor in recent pullbacks, even though we've known about this path since at least July).

I don't have an answer for your question, but I really like the WSJ Daily Shot, since its all graphs and data with some commentary, so it seems more reliable.

Are you looking for a broad overview, something more technical, or specifically machine learning algorithms?

I'm reading Advances in Financial Machine Learning at the moment. It's pretty relevant for quants and trading, and has code snippets in Python. Was going to recommend it to you guys.

Start here.

Advances in Financial Machine Learning https://www.amazon.com/dp/1119482089/ref=cm_sw_r_other_apa_i_AKx2DbFGRNJE8

I find it unlikely you'll understand the math but maybe you will. It an insightful book

Your answer is just total and complete bs: https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089

Advances in Financial Machine Learning by Marcos Lopez de Prado: https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089/

Para monitoramento, ok. Problema é o pessoal fazer backtest (achando que tem uma metodologia correta) e fazer trade.

Existe um livro chamado Advances in Financial Machine Learning que fala sobre os pitfalls desse tipo de modelo/algoritmo.

I'm planning on reading this: https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089
but the things you describe are much easier to define using normal programming.