"Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests...

Cover -- Title Page -- Copyright -- Contents -- About the Author -- Preamble -- 1 Financial Machine Learning as a Distinct Subject -- 1.1 Motivation -- 1.2 The Main Reason Financial Machine Learning Projects Usually Fail -- 1.2.1 The Sisyphus Paradigm -- 1.2.2 The Meta-Strategy Paradigm -- 1.3...

Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading...

We demonstrate how a machine learning algorithm can be applied to predict and explain modern market microstructure phenomena. We investigate the efficacy of various microstructure measures and show that they continue to provide insights into price dynamics in current complex markets. Some...