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Don't try to teach the machine things you don't know yourself. Study the rules and actors in the systems you're studying, and come up with theories to test against the data. You'll need to do this work anyway, so it's at least a good way to start before you complicate things further with AI/machine-learning.

Understand this first though: The vast majority of money made in trading is made without anything more than a trivial prediction of the future. Investing is different, but very very few have enough money to make active investing worthwhile.

Start out with "Algorithmic Trading & DMA" by Johnson: http://www.amazon.com/dp/0956399207 If you choose not to, you're better off not reading anything about the actual trading than trying to pick another.. The vast majority of published material is so bad that it'll set you back.

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