In terms of books on predictive models, I find ESL (elements of statistical learning) trying to cover too much and serves more like a reference, instead of explaining and developing the theories for successful research. Or they just assume a background which I don't have yet. So I am looking for a more theoretical and well-explained book in predictive modeling (hopefully with application in finance as well).

Please recommend good books that develop one's skill in predictive modeling (hopefully for alpha signal research). There might be few, but please recommend your favorites and provide some comments as well.

E.g. how is this book: "Applied Predictive Modeling" by Max Kuhn?


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