Welcome to ML 4T !

C. 5464647646

CS 4646/7646
Where am I ?

Scheller 100 1830 -245 TR

Machine learning 4 Trading

Look here: http://quantsoftware.gatech.edu

 David Byrd
Who are you ?

research scientist , PAT

PhD student ,
School of K

in
Research? Intelligent Agents

financial Market
Multi agent
simulations
How should I think of this class?

IT IS : applied , programming heavy

class ( ML , financed
survey
data science

't
IT IS NOT :
theory to survey
"

( opposed
"

deep class as
"

PREREQUISITES ?
none ? I

good programmer
.
What’s the overall structure of the class?

manipulate finance data

D
intro ML
3) computational investing
4) ML 4T
How do I get an A ?

Projects! 73% (Combination of auto-graded code plus human-graded reports)

- Python ?
Martingale
optimizer
Optimize Something -
numpy
intro ML
Assess Learners -
data
Defeat Learners - understanding
over time
Market Sim -

portfolio
are learner !
HA
Manual Strategy
you
-

Q-Learning Robot -

Strategy Learner ringwork

Exams! 25%

in not cumulative
2 ,
class
,
on paper ,

" before each exam,

other 2% ?
"
participation quizzes ,

given online
Class Topics 1: Understanding Financial Data

what data ?
pandas Humpy
ML
time series
plot data
portoflio
stats
Class Topics 2: Intro to Machine Learning

what is ML?
taxonomy
assess learner
instance learners
meta -
learning
Class Topics 3: Intro to Computational Investing

mutual fund
, hedge ,
ETF ?
markets work ?
valuation ? Fund Law of P.M .

TVOM
.

Efficient frontier
CAPM
EMH Options
RSLMACD
→ indicators
: EMA
SMA ,

BB
Class Topics 4: Machine Learning for Trading

State machines IFA

HMM Markov chins
generative
-
-

RF
ensembles
-

reinforcement learning
-
Q -
Learning

Q
Dg na
-
Mostly merged with the online master’s class? Textbooks? Lecture videos? GitHub? Project FAQs?

Merged:

piazza canvas textbooks

, , ,

everything about projects

( deadlines , grading ,
etc )

Lecture
Not Merged:

Exams
Quizzes
Office hours
Policies (see syllabus for more!)

except with
No late assignments
approval or Dean of Students
prior .

code / reports Period

Your own only .
.

within a week .

Challenge grades
for institute -

Makeup exams only

Dean of
related activities or
by
students .

Lecture attendance is expected .

 Stock data used in this class ? "
"

CSV , ./data/lBMesv
-
Adj Close
Date ighowfVoly
H
c
2012-09-06 of -
c L
adj close
L

Otkcbarscandkst

mfrffdose T -7

splits
Python Libraries used in this class ?

Matlab & stab

indices
humpy
-

around
time-series
pandas
-

dumpy
Matplotlibcpyplot ) -

plots
Why Pandas ?

Task: Read a Yahoo CSV file and parse it out. Print the highest price the
stock has been (and when it happened). Also draw a nice plot of the price!

import pandas aspd

df pd.read-csvtdatafIBM.es
-
-

'
;
index Col -
-
'
Date
,
-

parse -
dates trued -

print fdff 'Adj Close ] . Max G)

idxmaxl)
•

T
dffAdjdoseD.ph ) makes hard
things easy !