Cool stuff, and I didn't mean to discourage you at all. Some of the most interesting challenges in datascience arise in finance. Forex perhaps is just a pathol

Cool stuff, and I didn't mean to discourage you at all. Some of the most interesting challenges in datascience arise in finance. Forex perhaps is just a pathologically tricky beast to trade well, even though it is the easiest to access. I think perhaps cryptos would be an easier start in terms of there being more inefficiencies and autocorrelation in the market. In terms of data treatment, I recommend starting with Marco de Prado's Advances in Financial ML. I don't agree with some of his methods, but it is a practical book that highlights a lot of the issues you'll face. You can then draw your own conclusion how to treat them.