Today’s book review is, “Advances in Financial Machine Learning” by Marco Lopez de Prado. I gave this book a 4/5 stars.
The book does a good job at trying to teaching something complex in a short format without being too high level. The best part of the book is the discussion around setting up a team with the right structure. I have seen the same problems he has seen where teams back-test incorrectly or they over fit the model to the out of time sample by looping back.
He covers why machine learning fails in practice (people don’t implement it correctly) and I have seen similar issues with traditional statistics. The book is a good book if you want to see a few new ideas and how to structure finance problems.
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