Haven't read it myself, just wanted to mention it here. Feedback is welcome.

Ernest P. Chan. Machine Trading: Deploying Computer Algorithms to Conquer the Markets
ISBN-13: 978-1119219606

He mentioned it in his Quantiacs webinar "Machine Larning for Quantitative Trading". Skip to 37:00 to hear why neural networks tend to fail in trading.

Edited by webradio (01/16/18 15:52)