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Some highly recommended books

  #478 (permalink)

south africa
Posts: 170 since Dec 2018

quantstyle View Post
What sort of mathematics / stats subjects do I need to learn before reading this book? I've got the book but struggle to comprehend the math equations and some of the mathy text. Any books or online courses you can recommend ? Thanks!

IMO part of the hurdle is Marcos econometrics background. The machine learning stuff you can learn on
I think the Fractionally Differentiated Features chapter is a good example. If you don't know the time series analysis language he is talking in I don't know how the math can really be put into context anyway. Analysis of Financial Time Series by Tsay is a standard text in that area for finance.
Fractionally Differentiated Features chapter is all about how standard econometric transforms to make a time series stationary wipes out too much memory from the time series and then he shows you how to not do that with python code.

If you don't know why you would want to make a time series stationary in the first place you need to read something like Tsay. I also got Using Econometrics A Practical Guide 7th Edition as it is much less heavy than Tsay. Tsay is cool though because there is a R package with all the data used in the book. I also got A Primer for Unit Root Testing by K Patterson

In general the format is he explains the concept in English with equations and then there is the python implementation. If you are unsure of a part of the equation you should be able to get an idea from the python code.

Don't forget people use and understand moving averages all the time without knowing anything about this equation
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The concept is what is important. Not the math.
I would also highly recommend reading A Mathematicianís Lament

Our attitude towards math is disgraceful.

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