Financial Data Resampling for Machine Learning Based Trading: Application to Cryptocurrency Markets

ISBN-13: 9783030683788 / Angielski / Miękka / 2021 / 93 str.

Tomé Almeida Borges; Rui Neves

Recenzje

"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)

Spis treści

Chapter 1 - Introduction       

Chapter 2 - Related work     

Chapter 3 - Implementation               

Chapter 4 - Results  

Chapter 5 - Conclusions and future work 

O autorze

Tomé Almeida Borges is a data scientist at Santander Portugal since December 2019. He received the master’s degree in Electrical and Computer Engineering from Instituto Superior Técnico, Technical University of Lisbon, Portugal, in 2019. His research activity is focused on pattern recognition and data resampling methods of financial markets.

Rui Ferreira Neves is a professor at Instituto Superior Técnico since 2005. He received the Diploma in Engineering and the Ph.D. degrees in Electrical and Computer Engineering from the Instituto Superior Técnico, Technical University of Lisbon, Portugal, in 1993 and 2001, respectively. In 2006, he joined Instituto de Telecomunicações (IT) as a research associate. His research activity deals with evolutionary computation and pattern matching applied to the financial markets, sensor networks, embedded systems and mixed signal integrated circuits. He uses both fundamental, technical and pattern matching indicators to find the evolution of the financial markets.