An Introduction to Machine Learning in Quantitative Finance

This repository contains all the python codes for the book entitled "An Introduction to Machine Learning in Quantitative Finance".

• Chapter 2: Supervised learning
• Chapter 3: Linear regression and Regularization
• Chapter 4: Tree-based models
• Chapter 5: Neural networks
• Chapter 6: Cluster analysis
• Chapter 7: Principle component analysis
• Chapter 8: Reinforcement learning
• Chapter 9: Case study in Finance: Home Credit Default Risk

The link to the book of English version is https://www.worldscientific.com/worldscibooks/10.1142/q0275. Amazon
The link to the book of Chinease version is http://www.tup.com.cn/booksCenter/book_08325301.html. 京东

Citation

If you find our book useful, please consider citing our book.

English version:

Ni, H., Dong, X., Zheng, J. and Yu, G., 2021. An Introduction to Machine Learning in Quantitative Finance. World Scientific.

@book{ni2021introduction,
  title={An Introduction to Machine Learning in Quantitative Finance},
  author={Ni, Hao and Dong, Xin and Zheng, Jinsong and Yu, Guangxi},
  year={2021},
  publisher={World Scientific}
}`

Chinese version:

倪好, 董欣, 郑劲松, 和 于光希 (2021). 机器学习在量化金融中的应用. 清华大学出版社.

@book{ni2021introduction,
  title={机器学习在量化金融中的应用},
  author={Ni, Hao and Dong, Xin and Zheng, Jinsong and Yu, Guangxi},
  year={2021},
  publisher={Tsinghua University Press}
}`