I’ve been clearing out old emails and came across one that I had completely forgotten about – receipt and download link for Deep Learning Time Series Forecasting by Jason Brownlee, of machinelearningmastery.com. I have several of Jason’s books (pdfs plus code) and I find him very readable and usually pitched at just the right level for me. I like his style.
So this one is about using deep learning for time series forecasting, obviously, with an emphasis on CNNs and RNNs for supervised learning problems, plus some hybrid systems. He’s vey big on data preparation, and I must admit this is an area I struggle with. For trading there are so many possible inputs, and Ernie Chan has even suggested a system that uses hundreds or thousands of inputs, without however being very specific about what those inputs are.
So, another detour. I’ll put the unsupervised learning study aside for a while and have a quick read through this book. Perhaps it will give me some ideas, and is at least directly relevant to my main concern, ie time series forecasting.