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Apply machine learning and big data processing techniques to solve real trading problems: the equity pairs trading universe selection dilemma, and strategic trade selection via a meta-labelling framework.
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Course Content
Trading with Machine Learning and Big Data
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Embrace the Mayhem Initiation
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Bootcamp Logistics
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1 – Machine Learning and Big Data
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1 – Framing our Pair Trading Problem
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1 – A Universe Filtering and Classification Model for Pair Selection
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2 – Big Data Processing and Unsupervised Learning for Equity Pairs Selection
12 Topics
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3 – Introducing Fundamental Features
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— Recap and Consolidation —
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4 – Tuning and Validating Models
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5 – Time Series Features
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6 – Building a Statistical Arbitrage Workflow
8 Topics
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7 – Supervised Learning in an Equities Reversal Trading Strategy
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8 – Meta-labelling Models
10 Topics
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9 – Sizing, Portfolio Construction and Live Trading Considerations
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10 – Summary, Next Steps and Lessons Learned
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Bonus Material – BigQuery SQL Code
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Bonus Material – A Risk Premia Harvesting Strategy
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Bonus Material – A Seasonality Alpha Trade in GLD and GDX
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