Financial Data Resampling for Machine Learning Based Trading
Application to Cryptocurrency Markets
Tomé Almeida Borges author Rui Neves author
Format:Paperback
Publisher:Springer Nature Switzerland AG
Published:23rd Feb '21
Currently unavailable, and unfortunately no date known when it will be back
This book presents a system that combines the expertise of four algorithms, namely Gradient Tree Boosting, Logistic Regression, Random Forest and Support Vector Classifier to trade with several cryptocurrencies. A new method for resampling financial data is presented as alternative to the classical time sampled data commonly used in financial market trading. The new resampling method uses a closing value threshold to resample the data creating a signal better suited for financial trading, thus achieving higher returns without increased risk. The performance of the algorithm with the new resampling method and the classical time sampled data are compared and the advantages of using the system developed in this work are highlighted.
“The book contains little theory and presents mostly detailed numerical experiments, it reads very engagingly and inspires with many ideas. It is certainly not a reference book but rather a short monograph on a very clearly defined topic. It will be interesting to see whether the trading strategies presented can be transferred from the crypto markets to the presumably more efficient standard stock markets … as published strategies tend to make markets more efficient.” (Volker H. Schulz, SIAM Review, Vol. 64 (3), September, 2022)
ISBN: 9783030683788
Dimensions: unknown
Weight: unknown
93 pages
1st ed. 2021