Machine Learning in Finance

  1. Data Sourcing and Management
    1. Financial Data Sources
      1. Market Data
        1. Tick Data
          1. Trade Data
            1. Quote Data
              1. Timestamps and Microsecond Precision
              2. Order Book Data
                1. Level I Data
                  1. Level II Data
                    1. Market Depth
                      1. Order Flow
                      2. Bar Data
                        1. OHLCV Data
                          1. Different Time Frequencies
                            1. Volume Profiles
                          2. Fundamental Data
                            1. Financial Statements
                              1. Income Statements
                                1. Balance Sheets
                                  1. Cash Flow Statements
                                  2. Earnings Data
                                    1. Earnings Per Share
                                      1. Earnings Estimates
                                        1. Earnings Surprises
                                        2. Corporate Actions
                                          1. Dividends
                                            1. Stock Splits
                                              1. Mergers and Acquisitions
                                            2. Macroeconomic Data
                                              1. Interest Rates
                                                1. Federal Funds Rate
                                                  1. LIBOR
                                                    1. Treasury Yields
                                                    2. Economic Indicators
                                                      1. GDP Growth
                                                        1. Inflation Rates
                                                          1. Employment Data
                                                            1. Consumer Confidence
                                                          2. Alternative Data
                                                            1. Satellite Imagery
                                                              1. Retail Foot Traffic
                                                                1. Agricultural Monitoring
                                                                  1. Economic Activity Indicators
                                                                  2. Social Media Data
                                                                    1. Twitter Sentiment
                                                                      1. Reddit Discussions
                                                                        1. News Sentiment
                                                                        2. Credit Card Transactions
                                                                          1. Consumer Spending Patterns
                                                                          2. Web Scraping Data
                                                                            1. News Articles
                                                                              1. Financial Reports
                                                                                1. Analyst Reports
                                                                            2. Data Quality and Preprocessing
                                                                              1. Data Quality Assessment
                                                                                1. Completeness
                                                                                  1. Accuracy
                                                                                    1. Consistency
                                                                                      1. Timeliness
                                                                                      2. Missing Data Handling
                                                                                        1. Forward Fill
                                                                                          1. Backward Fill
                                                                                            1. Linear Interpolation
                                                                                              1. Multiple Imputation
                                                                                              2. Corporate Actions Adjustments
                                                                                                1. Stock Split Adjustments
                                                                                                  1. Dividend Adjustments
                                                                                                    1. Spin-off Adjustments
                                                                                                    2. Data Normalization
                                                                                                      1. Min-Max Scaling
                                                                                                        1. Z-Score Normalization
                                                                                                          1. Robust Scaling
                                                                                                          2. Outlier Detection and Treatment
                                                                                                            1. Statistical Methods
                                                                                                              1. Isolation Forest
                                                                                                                1. Local Outlier Factor
                                                                                                                  1. Winsorization
                                                                                                                2. Feature Engineering for Financial Data
                                                                                                                  1. Technical Indicators
                                                                                                                    1. Trend Indicators
                                                                                                                      1. Moving Averages
                                                                                                                        1. MACD
                                                                                                                          1. Parabolic SAR
                                                                                                                          2. Momentum Indicators
                                                                                                                            1. Relative Strength Index
                                                                                                                              1. Stochastic Oscillator
                                                                                                                                1. Williams %R
                                                                                                                                2. Volatility Indicators
                                                                                                                                  1. Bollinger Bands
                                                                                                                                    1. Average True Range
                                                                                                                                      1. Volatility Ratio
                                                                                                                                      2. Volume Indicators
                                                                                                                                        1. On-Balance Volume
                                                                                                                                          1. Volume Price Trend
                                                                                                                                            1. Accumulation Distribution Line
                                                                                                                                          2. Statistical Features
                                                                                                                                            1. Returns Calculation
                                                                                                                                              1. Simple Returns
                                                                                                                                                1. Log Returns
                                                                                                                                                  1. Risk-Adjusted Returns
                                                                                                                                                  2. Volatility Measures
                                                                                                                                                    1. Historical Volatility
                                                                                                                                                      1. Realized Volatility
                                                                                                                                                        1. Implied Volatility
                                                                                                                                                        2. Higher Moments
                                                                                                                                                          1. Skewness
                                                                                                                                                            1. Kurtosis
                                                                                                                                                              1. Co-skewness
                                                                                                                                                            2. Microstructure Features
                                                                                                                                                              1. Bid-Ask Spread
                                                                                                                                                                1. Order Imbalance
                                                                                                                                                                  1. Trade Size Distribution
                                                                                                                                                                    1. Price Impact Measures
                                                                                                                                                                    2. Cross-Asset Features
                                                                                                                                                                      1. Correlation Measures
                                                                                                                                                                        1. Beta Calculations
                                                                                                                                                                          1. Sector Rotations
                                                                                                                                                                          2. Feature Selection Methods
                                                                                                                                                                            1. Filter Methods
                                                                                                                                                                              1. Correlation Analysis
                                                                                                                                                                                1. Mutual Information
                                                                                                                                                                                  1. Chi-Square Test
                                                                                                                                                                                  2. Wrapper Methods
                                                                                                                                                                                    1. Recursive Feature Elimination
                                                                                                                                                                                      1. Forward Selection
                                                                                                                                                                                        1. Backward Elimination
                                                                                                                                                                                        2. Embedded Methods
                                                                                                                                                                                          1. LASSO Regularization
                                                                                                                                                                                            1. Tree-Based Importance
                                                                                                                                                                                              1. Elastic Net

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                                                                                                                                                                                        1. Foundations of Machine Learning in Finance

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                                                                                                                                                                                        3. Algorithmic Trading and Strategy Development