My honest opinion is that any ML related to finance that you learn outside of an investment firm is mostly a waste of time. The amount of data and nuance that successful models encompass is staggering. Unless you do something like scrape WSB and predict the next MEME stock, ML for finance makes no sense. You need credit card data, 10ks, tick data, economic forecasts, interest rates, fed moves, etc. You can carve out a niche, but if you do, forget about finding something on the internet that will tell you how to do that.
There are many games at different abstraction levels in finance, and I agree to find an edge at the level you're describing is exceedingly difficult. That said, Fama and French won a Nobel Prize with data stewardship and regressions. There's definitely a place for understanding basic financial data and ML concepts even for the retail investor.
Anyone have any good books I can read to learn a bit more about this sort of application? I really like the finance stuff, feels like a natural marriage with DS and ML.
I don't know nearly enough to expand on what I mean.
Advances in Financial Machine Learning by Marcos Lopez de Prado is one of the best books i read last year. Especially on back testing, strategy risk are my fav.
Working in the field (HFT market maker) and agree with this assessment. The book is pretty useless in practice - it's basically a vehicle of self promotion for his academic career.
"Trading and Exchanges: Market Microstructure for Practitioners" is a good introductory book that covers how markets work on a high level. It doesn't teach you how to build profitable systems. That you won't find anywhere anyway.
Thanks for the recommendations. Since, I dont work on the field as closely and mostly on a observatory capacity. Ill take a look at the recommendations.
Not strictly ML, but "Optimization Methods in Finance" by Cornuejols et al [1] a great reference. It introduces optimization algorithms and modeling technique as well as finance applications in alternating chapters.
Does "Ponzi scheme" just mean "bad finance thing" now? It is impossible by definition for a fund that hasn't had inflows for 30 years to be a Ponzi scheme.
They could, for example, be buying early stage startups cheap, sell it to a friend for 3x, who sells to a VC fund for 3x, which then sells it to the public by showing huge growth.
No inflows, old investors get paid with money from new retail investors and retail investors are left with a hot potato. A Ponzi scheme.
It cannot potentially be Ponzi Scheme as their investors didn’t end up losing money.(The 0-sum was in the market participation)
The kind of returns RenTech took, it would have to be a highly elaborate insider trading and why would a bunch of scientists want to waste their time on that ?
The only thing “wonky” about RenTech was Bob Mercer’s personal political views but despite that I would still consider Bob Mercer to be a very intelligent/scientific person.
