Summary

This course aims to give an introduction to the application of machine learning to finance. These techniques gained popularity due to the limitations of traditional financial econometrics methods tackling big data. We will review and compare traditional methods and machine learning algorithms.

Content

Keywords

Econometrics, Machine Learning, Finance

Learning Prerequisites

Required courses

 Econometrics

Recommended courses

Introduction to finance

Important concepts to start the course

Basic linear algebra.

Basic probalilistic and statistical concepts.

Learning Outcomes

By the end of the course, the student must be able to:

• Elaborate a prediction program
• Assess / Evaluate existing estimation and predicition methods
• Formulate new estimation and prediction methods
• Propose optimal methods for problems seen
• Optimize techniques / algorithms used
• Construct econometric models
• Implement financial econometrics traditional and machine learning algorithms
• Exploit information contained in data

Transversal skills

• Give feedback (critique) in an appropriate fashion.
• Demonstrate the capacity for critical thinking
• Use a work methodology appropriate to the task.

Teaching methods

Lectures and exercise sessions

Projects

Expected student activities

• Participate in lectures
• Participate in exercises sessions
• Solve the problem sets
• Work on a project and present outcomes
• Write a final exam

Assessment methods

(Project report+Project presentation+Exam)/3

Supervision

Resources

Bibliography

Hamilton, J.D.(1994):"Time Series Analysis" , Princeton Univertsity Press

Gourieroux C. and Monfort A.(1996):"Time Series and Dynamic Models" ,Cambridge University Press

Frank C. and Zakoian J.M.(2010) :"Garch Model"s ,Wiley

Gourieroux C. and Monfort A,(1996): "Statistics and Econometric Models" ,(2 vol.),Cambridge University Press

Bertholon H.,Monfort A. and Pegoraro F. (2008): "Econometric Asset Pricing Modelling",Journal of Financial Econometrics ,4,407-458

Dixon M. F, Halperin I. and Bilokon P. (2020): "Machine Learning in Finance", Springer

Ressources en bibliothèque

• Time Series and Dynamic Models / Gourieroux
• Machine Learning in Finance / Dixon
• Times Series Analysis / Hamilton
• Statistics and Econometric Model / Gourieroux
• Econometric Asset Pricing Modelling / Bertholon
• GARCH Models / Frank

Prerequisite for

• Courses using statistical dynamic models