Machine-Learning-for-Asset-Managers
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emoen
Implementation of code snippets, exercises and application to live data from Machine Learning for Asset Managers (Elements in Quantitative Finance) written by Prof. Marcos López de Prado.
For the cMDA function in ch6_feature_importance_analysis.py, should the following code be outside of train test for loop? The mean score is for cross vaildation calcualted on cluster level. imp=(-1*scr1).add(scr0,axis=0) imp...
When I run the script called 'ch7_portfolio_construction' I get the following error: AttributeError Traceback (most recent call last) in 39 cov1 = pd.DataFrame(cov1, index=cols, columns=cols) 40 corr1 = mp.cov2corr(cov1) --->...
There are some parts that do not work due to typos or name errors when the module is executed as a script. ch3_metrics.py: from l38 ```diff - def mutualInfor(x,y, norm=False):...
Close #6 , close #4 ( Includes correction of explicit relative import mentioned in #4 )
The description `fit.enumerators_` in l33 of "ch6_feature_importance_analysis.py" does not work correctly because the attribute name is wrong, causing the error "AttributeError: 'BaggingClassifier' object has no attribute 'enumerators_'". The correct attribute...
When used as a package, the description `from ch4_optimal_clustering import clusterKMeansBase` in l13 of "ch6_feature_importance_analysis.py" causes the error "ModuleNotFoundError: No module named 'ch4_optimal_clustering'". The reference needs to be changed to...