Classical Machine Learning for Financial Engineering

Classical Machine Learning for Financial Engineering

Course
en
English
28 h
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Source
  • From www.edx.org
Conditions
  • Self-paced
  • Course from 799 €
More info
  • 7 Sequences
  • Intermediate Level

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Course details

Syllabus

Week 1: Classical Machine Learning: Overview

  • What is Machine Learning (ML) ?

  • ML and Finance; not ML for Finance

  • Classical Machine Learning: Introduction

  • Supervised Learning

  • Our first predictor

  • Notational conventions

Week 2: Linear regression. Recipe for Machine Learning

  • Linear Regression

  • The Recipe for Machine Learning

  • The Regression Loss Function

  • Bias and Variance

Week 3: Transformations, Classification

  • Data Transformations: Introduction and mechanics

  • Logistic Regression

  • Non-numeric variables: text, images

  • Multinomial Classification

  • The Classification Loss Function

Week 4: Classification continued, Error Analysis

  • Baseline model

  • The Dummy Variable Trap

  • Transformations

  • Loss functions: mathematics

Week 5: More Models: Trees, Forests, Naive Bayes

  • Entropy, Cross Entropy, KL Divergence

  • Decision Trees

  • Naive Bayes

  • Ensembles

  • Feature Importance

Week 6: Support Vector Machines, Gradient Descent, Interpretation

  • Support Vector Classifiers

  • Gradient Descent

  • Interpretation: Linear Models

Week 7: Unsupervised Learning, Dimensionality Reduction

  • Unsupervised Learning

  • Dimensionality Reduction

  • Clustering

  • Principal Components

  • Pseudo Matrix Factorization: preview of Deep Learning

Prerequisite

The course is intended for financial professionals (analysts, portfolio managers, traders, quants, advisers) and other practitioners with an interest in finance. Solid programming skills are advised; knowledge of Python is an advantage. Students should also have knowledge of basic probability, statistical techniques (including linear regression), calculus; linear algebra.

Instructors

Ken Perry
Adjunct Professor
New York University Tandon School of Engineering

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