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ODSC Europe 2017 (London)

Algorithmic Trading

With Machine & Deep Learning

Workshop by Dr. Yves J. Hilpisch | The Python Quants GmbH

London, 12. October 2017

(short link to this Gist: https://goo.gl/LAQ8Ze)

Resources

Quote

"Pichai said that as an 'AI first' company, this is a 'unique moment in time' for Google to combine hardware, software and artificial intelligence. 'It's radically rethinking how computing should work', he said."

Business Standard, "Google Ramps up Hardware Business", 06. October 2017.

Slides

You find the slides under http://hilpisch.com/odsc_workshop.pdf

Python

If you have either Miniconda or Anaconda already installed, there is no need to install anything new.

We are using Python 3.6. Download and install Miniconda 3.6 from https://conda.io/miniconda.html if you do not have conda already installed.

In any case, you should execute the following lines on the shell/command prompt to create a new environment with the needed packages:

conda create -n odsc python=3.6
(source) activate odsc
conda install numpy pandas=0.19 scikit-learn matplotlib
conda install ipython jupyter
conda install tensorflow
jupyter notebook

Read more about the management of environments under https://conda.io/docs/using/envs.html

Agenda

We are going to cover the following topics:

  • Reading Financial Time Series Data with pandas
  • Formulating an Algorithmic Trading Strategy
  • Vectorized Backtesting of the Trading Strategy
  • Random Walk Hypothesis
  • Prediction based on Logistic Regression
  • Neural Networks from Scratch
  • Prediction based on DNN Classifier

Data

You find the data set used under http://hilpisch.com/eurusd.csv (as provided by FXCM Forex Capital Markets Ltd.).

Cloud

Use this link to get a 10 USD starting credit on DigitalOcean when signing up for a new account.

Books

Good book about everything important in Python data analysis: Python Data Science Handbook, O'Reilly

Good book covering object-oriented programming in Python: Fluent Python, O'Reilly

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