Essays in Machine Learning in Finance

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ISBN 13 :
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Book Rating : 4.:/5 (133 download)

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Book Synopsis Essays in Machine Learning in Finance by : Ye Ye

Download or read book Essays in Machine Learning in Finance written by Ye Ye and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The bond market is one of the largest financial markets, with $52.9 trillion of debt outstanding for the US market as of 2021. The implied interest rate for borrowing at different horizons is the fundamental object for this market. However, a complete set of interest is not observed and must be estimated from the noisy market data. In two papers, we develop machine learning methods to precisely estimate the term structure of interest rates and to understand and manage interest-rate related risks. In the first paper, we introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions in reproducing Hilbert spaces with an economically motivated smoothness reward. We provide a closed-form solution of our machine learning estimator as a simple kernel ridge regression, which is straightforward and fast to implement. We show in an extensive empirical study on U.S. Treasury securities, that our method strongly dominates all parametric and non-parametric benchmarks, which positions our method as the new standard for yield curve estimation. In the second paper, we develop a sparse factor model for bond returns, that unifies non- parametric term structure estimation with cross-sectional factor modeling. Building on the modeling framework of the first paper, we estimate an optimal set of sparse basis functions, which maps into a cross-sectional conditional factor model. Our estimated factors are investable portfolios of traded assets, that replicate the full term structure and are sufficient to hedge against interest rate changes. In an extensive empirical study on U.S. Treasury securities, we show that the term structure of excess returns is well explained by four factors. We introduce a new measure for the time-varying complexity of bond markets based on the exposure to higher-order factors.

Essays on Machine Learning and Finance

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)

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Book Synopsis Essays on Machine Learning and Finance by : Matthias Schnaubelt

Download or read book Essays on Machine Learning and Finance written by Matthias Schnaubelt and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays in Machine Learning and Natural Language Processing in Finance

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (142 download)

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Book Synopsis Essays in Machine Learning and Natural Language Processing in Finance by : Lars Moritz Scherrmann

Download or read book Essays in Machine Learning and Natural Language Processing in Finance written by Lars Moritz Scherrmann and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Machine Learning in Empirical Finance

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)

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Book Synopsis Three Essays on Machine Learning in Empirical Finance by : Jinhua Wang

Download or read book Three Essays on Machine Learning in Empirical Finance written by Jinhua Wang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Machine Learning and Price Impact in Institutional Finance

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)

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Book Synopsis Essays on Machine Learning and Price Impact in Institutional Finance by : Zihan Lin (Researcher in machine learning)

Download or read book Essays on Machine Learning and Price Impact in Institutional Finance written by Zihan Lin (Researcher in machine learning) and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Institutional investors play crucial roles in financial markets. First, they delegate investment for individual investors. We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance, and the returns of predictive long-short portfolios are higher following a period of high sentiment. Second, institutional investors provide liquidity to investor demand. We hypothesize and provide evidence that prices are more inelastic when demand is less diversifiable. We decompose order-flow imbalances into components with varying degrees of diversifiability and estimate their price impacts. Our findings are consistent with weaker liquidity provision at less diversifiable levels.

Essays on Conditional Asset Pricing and Machine Learning in Finance

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ISBN 13 :
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Book Rating : 4.:/5 (125 download)

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Book Synopsis Essays on Conditional Asset Pricing and Machine Learning in Finance by : Stephen Owen

Download or read book Essays on Conditional Asset Pricing and Machine Learning in Finance written by Stephen Owen and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years there has been wide-scale access to improved statistical estimation techniques and the implementation of such techniques in financial economics. In this dissertation, I provide two brief overviews of the evolution of linear factor models in asset pricing and machine learning in finance. I then provide four research essays that implement machine learning in financial economic research settings. The first essay revisits tests of the conditional Capital Asset Pricing Model in an international context using multivariate generalized autoregressive conditional heteroskedasticity techniques. The second essay studies the use of hierarchical clustering in mean-variance optimal portfolio management. The third essay proposes a novel paragraph embedding technique that leverages the question-and-answer structure of earnings announcement calls to model the similarity between documents. The fourth and final essay studies the impact that dodgy managers have on idiosyncratic security performance.

Essays on Machine Learning in Empirical Finance and Accounting Research

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)

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Book Synopsis Essays on Machine Learning in Empirical Finance and Accounting Research by : Daniel Marcel Metko

Download or read book Essays on Machine Learning in Empirical Finance and Accounting Research written by Daniel Marcel Metko and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Information Transmission & Machine Learning in Finance

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)

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Book Synopsis Essays on Information Transmission & Machine Learning in Finance by : Sasan Mansouri

Download or read book Essays on Information Transmission & Machine Learning in Finance written by Sasan Mansouri and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on the Suitability of Machine Learning Algorithms for Financial Forecasts

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)

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Book Synopsis Essays on the Suitability of Machine Learning Algorithms for Financial Forecasts by : Marko Kureljusic

Download or read book Essays on the Suitability of Machine Learning Algorithms for Financial Forecasts written by Marko Kureljusic and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essay on Big Data and Machine Learning in Finance

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)

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Book Synopsis Essay on Big Data and Machine Learning in Finance by : Gunsu Son

Download or read book Essay on Big Data and Machine Learning in Finance written by Gunsu Son and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite structural differences between the options and stock markets, few studies have discussed the behavior and impact of high-frequency traders (HFTs) in the options market. Options exchanges identify high-frequency/algorithmic traders as Professional Customers (PCs). In this study, we use granular data that identifies trades by customers, PCs, and Market Makers (MMs). We find that PCs mainly trade as a counterparty to customers, similar to MMs. However, the liquidity provision by PCs leads to order flow toxicity: PCs use a "cream skimming" strategy that imposes adverse selection costs on MMs. PCs mainly trade with uninformed customers, most likely leveraging their speed and algorithmic advantage. PCs provide less liquidity when the market and stock volatility are high. Customer call option trades made with PCs have one-tenth of price impact and no return or volatility predictability, while there is significant price impact in addition to return and volatility predictability when executed against MMs during the next 30 minutes. Our finding on HFTs' non-arbitrage channel of order flow toxicity is new and suggests that the role of HFTs should be better understood in the context of the options market structure.

Machine Learning and AI in Finance

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Publisher : Routledge
ISBN 13 : 1000372006
Total Pages : 131 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Machine Learning and AI in Finance by : German Creamer

Download or read book Machine Learning and AI in Finance written by German Creamer and published by Routledge. This book was released on 2021-04-05 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The significant amount of information available in any field requires a systematic and analytical approach to select the most critical information and anticipate major events. During the last decade, the world has witnessed a rapid expansion of applications of artificial intelligence (AI) and machine learning (ML) algorithms to an increasingly broad range of financial markets and problems. Machine learning and AI algorithms facilitate this process understanding, modelling and forecasting the behaviour of the most relevant financial variables. The main contribution of this book is the presentation of new theoretical and applied AI perspectives to find solutions to unsolved finance questions. This volume proposes an optimal model for the volatility smile, for modelling high-frequency liquidity demand and supply and for the simulation of market microstructure features. Other new AI developments explored in this book includes building a universal model for a large number of stocks, developing predictive models based on the average price of the crowd, forecasting the stock price using the attention mechanism in a neural network, clustering multivariate time series into different market states, proposing a multivariate distance nonlinear causality test and filtering out false investment strategies with an unsupervised learning algorithm. Machine Learning and AI in Finance explores the most recent advances in the application of innovative machine learning and artificial intelligence models to predict financial time series, to simulate the structure of the financial markets, to explore nonlinear causality models, to test investment strategies and to price financial options. The chapters in this book were originally published as a special issue of the Quantitative Finance journal.

Machine Learning in Finance

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Publisher : Springer Nature
ISBN 13 : 3030410684
Total Pages : 565 pages
Book Rating : 4.0/5 (34 download)

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Book Synopsis Machine Learning in Finance by : Matthew F. Dixon

Download or read book Machine Learning in Finance written by Matthew F. Dixon and published by Springer Nature. This book was released on 2020-07-01 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces machine learning methods in finance. It presents a unified treatment of machine learning and various statistical and computational disciplines in quantitative finance, such as financial econometrics and discrete time stochastic control, with an emphasis on how theory and hypothesis tests inform the choice of algorithm for financial data modeling and decision making. With the trend towards increasing computational resources and larger datasets, machine learning has grown into an important skillset for the finance industry. This book is written for advanced graduate students and academics in financial econometrics, mathematical finance and applied statistics, in addition to quants and data scientists in the field of quantitative finance. Machine Learning in Finance: From Theory to Practice is divided into three parts, each part covering theory and applications. The first presents supervised learning for cross-sectional data from both a Bayesian and frequentist perspective. The more advanced material places a firm emphasis on neural networks, including deep learning, as well as Gaussian processes, with examples in investment management and derivative modeling. The second part presents supervised learning for time series data, arguably the most common data type used in finance with examples in trading, stochastic volatility and fixed income modeling. Finally, the third part presents reinforcement learning and its applications in trading, investment and wealth management. Python code examples are provided to support the readers' understanding of the methodologies and applications. The book also includes more than 80 mathematical and programming exercises, with worked solutions available to instructors. As a bridge to research in this emergent field, the final chapter presents the frontiers of machine learning in finance from a researcher's perspective, highlighting how many well-known concepts in statistical physics are likely to emerge as important methodologies for machine learning in finance.

Three Essays in Finance

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ISBN 13 :
Total Pages : 178 pages
Book Rating : 4.:/5 (19 download)

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Book Synopsis Three Essays in Finance by : Alex John Fabisiak

Download or read book Three Essays in Finance written by Alex John Fabisiak and published by . This book was released on 2019 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, I apply machine learning techniques to numerically solve high-dimensional continuous time models in finance. Traditional methods rely on finite difference schemes for solutions to partial differential equations. By approximating the solution with a deep neural network, I am able to leverage the computational efficiency of neural networks and batch gradient descent to accurately compute solutions involving many state variables. I demonstrate the accuracy and efficiency of this method for Black-Scholes options pricing problems and dynamic programming problems in up to 50 spatial dimensions, far beyond the capability of grid methods. I also develop a solution method to mean field game type problems, where both a value function and a distribution function must solve a system of differential equations, utilizing mixture density networks. In the second chapter (with Ivo Welch), we develop a model where buyers prefer local over lower-cost vendors even in the absence of direct preferences, taxes, subsidies, contracts, sanctions, information asymmetries, audits, etc. Instead, they prefer locals because they internalize the fact that local agents will in turn be more likely to buy from them in the future. Local sellers understand that buyers' preferences give them limited local market power, and therefore raise their prices and earn surplus in equilibrium. Our model can explain how voluntary reciprocity among subsets of identical agents can sustain itself, and how ex-ante identical goods from ex-ante identical sellers can acquire and maintain sustainably differentiated prices. In the third chapter (with Antonio Bernardo and Ivo Welch), we develop a model where firms with lower leverage are not only less likely to experience financial distress but are also better positioned to acquire assets from other distressed firms. With endogenous asset sales and values, each firm's debt choice then depends on the choices of its industry peers. With indivisible assets, otherwise identical firms may adopt different debt policies---some choosing highly levered operations (to take advantage of ongoing debt benefits), others choosing more conservative policies to wait for acquisition opportunities. Our key empirical implication is that the acquisition channel can induce firms to reduce debt when assets become more redeployable. This article has been accepted for publication and is forthcoming in the Journal of Financial and Quantitative Analysis.

Essays on the Applications of Machine Learning in Financial Markets

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (126 download)

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Book Synopsis Essays on the Applications of Machine Learning in Financial Markets by : Muye Wang

Download or read book Essays on the Applications of Machine Learning in Financial Markets written by Muye Wang and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that linear factor models are equivalent to a class of linear variational autoencoders. Further- more, nonlinear variational autoencoders can be viewed as an extension to linear factor models by relaxing the linearity assumption. An application of covariance estimation is to construct minimum variance portfolio. Through numerical experiments, we demonstrate that variational autoencoder improves upon linear factor models and leads to a more superior minimum variance portfolio.

Essays on Hybrid Modeling of Machine Learning Algorithms and Financial Time Series Models

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)

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Book Synopsis Essays on Hybrid Modeling of Machine Learning Algorithms and Financial Time Series Models by : Sherry Luo

Download or read book Essays on Hybrid Modeling of Machine Learning Algorithms and Financial Time Series Models written by Sherry Luo and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on the Application of Machine Learning for Risk Governance in Financial Institutions

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ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (123 download)

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Book Synopsis Three Essays on the Application of Machine Learning for Risk Governance in Financial Institutions by : Abena Fosua Owusu

Download or read book Three Essays on the Application of Machine Learning for Risk Governance in Financial Institutions written by Abena Fosua Owusu and published by . This book was released on 2020 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Machine Learning for Finance

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Publisher : BPB Publications
ISBN 13 : 9389328624
Total Pages : 218 pages
Book Rating : 4.3/5 (893 download)

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Book Synopsis Machine Learning for Finance by : Saurav Singla

Download or read book Machine Learning for Finance written by Saurav Singla and published by BPB Publications. This book was released on 2021-01-05 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understand the essentials of Machine Learning and its impact in financial sector KEY FEATURESÊ _Explore the spectrum of machine learning and its usage. _Understand the NLP and Computer Vision and their use cases. _Understand the Neural Network, CNN, RNN and their applications. _ÊUnderstand the Reinforcement Learning and their applications. _Learn the rising application of Machine Learning in the Finance sector. Ê_Exposure to data mining, data visualization and data analytics. DESCRIPTION The fields of machining adapting, profound learning, and computerized reasoning are quickly extending and are probably going to keep on doing as such for a long time to come. There are many main impetuses for this, as quickly caught in this review. Now and again, the advancement has been emotional, opening new ways to deal with long-standing innovation challenges, for example, progresses in PC vision and picture investigation.Ê Ê The book demonstrates how to solve some of the most common issues in the financial industry.Ê The book addresses real-life problems faced by practitioners on a daily basis. The book explains how machine learning works on structured data, text, and images. You will cover the exploration of Na•ve Bayes, Normal Distribution, Clustering with Gaussian process, advanced neural network, sequence modeling, and reinforcement learning. Later chapters will discuss machine learning use cases in the finance sector and the implications of deep learning. The book ends with traditional machine learning algorithms. Ê Machine Learning has become very important in the finance industry, which is mostly used for better risk management and risk analysis. Better analysis leads to better decisions which lead to an increase in profit for financial institutions. Machine Learning to empower fintech to make massive profits by optimizing processes, maximizing efficiency, and increasing profitability. WHAT WILL YOU LEARN _ Ê Ê Ê You will grasp the most relevant techniques of Machine Learning for everyday use. _ Ê Ê Ê You will be confident in building and implementing ML algorithms. _ Ê Ê Ê Familiarize the adoption of Machine Learning for your business need. _ Ê Ê Ê Discover more advanced concepts applied in banking and other sectors today. _ Ê Ê Ê Build mastery skillset in designing smart AI applications including NLP, Computer Vision and Deep Learning. WHO THIS BOOK IS FORÊ Data Scientist, Machine Learning Engineers and Individuals who want to adopt machine learning in the financial domain. Practitioners are working in banks, asset management, hedge funds or working the first time in the finance domain. Individuals who want to learn about applications of machine learning in finance or individuals entering the fintech domain. TABLE OF CONTENTS 1.Introduction 2.Naive Bayes, Normal Distribution and Automatic Clustering Processes 3.Machine Learning for Data Structuring 4.Parsing Data Using NLP 5.Computer Vision 6.Neural Network, GBM and Gradient Descent 7.Sequence Modeling 8.Reinforcement Learning For Financial Markets 9.Finance Use Cases 10.Impact of Machine Learning on Fintech 11.Machine Learning in Finance 12.eKYC and Anti-Fraud Policy 13.Uses of Data Mining and Data Visualization 14.Advantages and Disadvantages of Machine Learning 15.Applications of Machine Learning in Other Industries 16.Ethical considerations in Artificial Intelligence 17.Artificial Intelligence in Banking 18.Common Machine Learning Algorithms 19.Frequently Asked Questions