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Machine Learning and Big Data with KDB+/Q

Machine Learning and Big Data with KDB+/Q

Paul A. Bilokon, Jan Novotny

ISBN: 978-1-119-40473-6

Dec 2018

350 pages

$75.00

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Description

The book will start with an examination of the foundations of kdb+/q and will proceed to consider the practicalities of dealing with real high-frequency data, and then demonstrate how kdb+/q can be used to solve econometric problems of practical importance. The exploratory journey of the language follows the path the high-frequency quants undertake every time they develop a working strategy: from data description and summary statistics to basic regression methods and cointegration, from volatility estimation and modelling to optimal execution, from market impact and microstructure analyses to advanced machine learning techniques including the neural networks.

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