Feature Engineering and Feature Importance in Machine Learning for Financial Markets
Last updated Jun 6, 2026
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Feature Engineering and Feature Importance in Machine Learning for Financial Markets
Background knowledge for Feature Analysis in Finance
Technical Indicators
- I studied over 80 technical indicators.
Old ones
- T.I. Analysis (old version)
- Is TA better than simple market data?
Feature Importance
- Which one is important? with MDI
Feature Engineering (.. in progress)
- Deep Autoencoder
- CNN architecture
- FinEmbedding
Data
- High Frequency Cryptos Prices
- Daily Stock Prices
Other example
-References
- De Prado, M. L. (2018). Advances in financial machine learning. John Wiley & Sons.
- Dixon, M. F., Halperin, I., & Bilokon, P. (2020). Machine learning in Finance (Vol. 1170). Berlin and Heidelberg: Springer International Publishing.
- Jansen, S. (2018). Hands-On Machine Learning for Algorithmic Trading: Design and implement investment strategies based on smart algorithms that learn from data using Python. Packt Publishing Ltd.
- Python library ta (https://github.com/bukosabino/ta)
