ファクター投資のための機械学習：Ｒ版 Machine Learning for Factor Investing: R Version

著者名：Coqueret, Guillaume/Guida, Tony

Chapman and Hall/CRC（2020/08/31発売）

• 言語：ENG
• ISBN：9780367473228
• eISBN：9781000176803

Description

• Detailed presentation of the key machine learning tools use in finance
• Large scale coding tutorial with easily reproducible examples
• Realistic applications on a large publicly available dataset
• All the key ingredients to perform a full portfolio backtest

Table of Contents

1. Preface 2. Notations and data 3. Introduction 4. Factor investing and asset pricing anomalies 5. Data preprocessing 6. Penalized regressions and sparse hedging for minimum variance portfolios 8. Neural networks 7. Tree-based methods 9. Support vector machines 10. Bayesian methods 11. Validating and tuning 12. Ensemble models 13. Portfolio backtesting 14. Interpretability 15. Two key concepts: causality and non-stationarity 16. Unsupervised learning 17. Reinforcement learning