A Machine Learning framework for an algorithmic trading system

New breakthroughs in AI make the headlines everyday. Far from the buzz of customer-facing businesses, the wide adoption and powerful applications of Machine Learning in Finance are less well known. In fact, there are few domains with as much historical, clean and structured data as the financial industry -- making it one of those predestined use cases where'learning machines' made an early mark with tremendous success that still continues. About three years ago, I got involved in developing Machine Learning (ML) models for price predictions and algorithmic trading in Energy markets, specifically for the European market of Carbon emission certificates. In this article, I want to share some of the learnings, approaches and insights which I have found relevant in all my ML projects since.