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Machine Learning for Asset Managers (häftad, eng)
Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justifica...
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Produktbeskrivning
Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules.
The purpose of this Element is to introduce machine learning (ML) tools that can help asset managers discover economic and financial theories. ML is not a black box, and it does not necessarily overfit. ML tools complement rather than replace the classical statistical methods.
Some of ML''s strengths include (1) a focus on out-of-sample predictability over variance adjudication; (2) the use of computational methods to avoid relying on (potentially unrealistic) assumptions; (3) the ability to “learn” complex specifications, including nonlinear, hierarchical, and noncontinuous interaction effects in a high-dimensional space; and (4) the ability to disentangle the variable search from the specification search, robust to multicollinearity and other substitution effects.
The purpose of this Element is to introduce machine learning (ML) tools that can help asset managers discover economic and financial theories. ML is not a black box, and it does not necessarily overfit. ML tools complement rather than replace the classical statistical methods.
Some of ML''s strengths include (1) a focus on out-of-sample predictability over variance adjudication; (2) the use of computational methods to avoid relying on (potentially unrealistic) assumptions; (3) the ability to “learn” complex specifications, including nonlinear, hierarchical, and noncontinuous interaction effects in a high-dimensional space; and (4) the ability to disentangle the variable search from the specification search, robust to multicollinearity and other substitution effects.
Format | Häftad |
Omfång | 152 sidor |
Språk | Engelska |
Förlag | Cambridge University Press |
Utgivningsdatum | 2020-04-30 |
ISBN | 9781108792899 |
Specifikation
Böcker
- Häftad, 152, Engelska, Cambridge University Press, 2020-04-30, 9781108792899
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Specifikation
Böcker
- Format Häftad
- Antal sidor 152
- Språk Engelska
- Förlag Cambridge University Press
- Utgivningsdatum 2020-04-30
- ISBN 9781108792899