Advances in Financial Machine Learning

Marcos López de Prado · 2018 · Wiley

IntermediateIntradayLFTBook

Information-driven bars, triple-barrier labelling, purged cross-validation and meta-labelling. Worth reading for the pitfalls even if you skip the methods.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday, LFT
Data needed: Trades, Intraday bars Set what data you have
Themes: Machine learning Backtesting
Assets: Equities
Market: Global

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@book{lopezdeprado2018advances,
  author = {López de Prado, Marcos},
  title = {{Advances in Financial Machine Learning}},
  publisher = {Wiley},
  year = {2018},
  url = {https://openlibrary.org/works/OL20583340W}
}

López de Prado, M. (2018). Advances in Financial Machine Learning. Wiley. https://openlibrary.org/works/OL20583340W