“Some readers are bound to want to take the techniques we’ve introduced here and try them on the problem of forecasting the future price of securities on the stock market (or currency exchange rates, and so on). Markets have very different statistical characteristics than natural phenomena such as weather patterns. Trying to use machine learning to beat markets, when you only have access to publicly available data, is a difficult endeavor, and you’re likely to waste your time and resources with nothing to show for it.

Always remember that when it comes to markets, past performance is not a good predictor of future returns—looking in the rear-view mirror is a bad way to drive. Machine learning, on the other hand, is applicable to datasets where the past is a good predictor of the future.”