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Introduction to Machine Learning for Finance
- clircle 5y agoWhat are the great successes of machine learning in finance?
- Cd00d 5y agoGreat question! Does Renaissance Technologies count as ML? I honestly don't know where the line between quantitative/algorithmic and ML is - I suspect it's blurry.
- cung 5y agoIs there any proof of Renaissance not being just insider trading or a Ponzi scheme?
- sooheon 5y agoDoes "Ponzi scheme" just mean "bad finance thing" now? It is impossible by definition for a fund that hasn't had inflows for 30 years to be a Ponzi scheme.
- cung 5y agoThey could, for example, be buying early stage startups cheap, sell it to a friend for 3x, who sells to a VC fund for 3x, which then sells it to the public by showing huge growth. No inflows, old investors get paid with money from new retail investors and retail investors are left with a hot potato. A Ponzi scheme.
- stillworks 5y agoIt cannot potentially be Ponzi Scheme as their investors didn’t end up losing money.(The 0-sum was in the market participation) The kind of returns RenTech took, it would have to be a highly elaborate insider trading and why would a bunch of scientists want to waste their time on that ? The only thing “wonky” about RenTech was Bob Mercer’s personal political views but despite that I would still consider Bob Mercer to be a very intelligent/scientific person.
- sooheon 5y agoThey gather data and use it to make data driven statistical predictions -- of course they are ML!
- keithalewis 5y agoWhy limit the question to finance?
- arthurcolle 5y agoMaybe because the article is titled "Introduction to Machine Learning for Finance" ?
- andyxor 5y agoso far no ML system created a ponzi scheme
- deleted 5y ago[deleted]
- dhruva_k 5y agoI think ML, regardless of the industry application, will always be a victim of the garbage in-garbage out mechanism. Those that are trying to build neural networks to predict tomorrow's price based on the last 1 month are never going to get anywhere because the markets are just too nuanced for this. I'm constantly looking at this from the view that I'm not looking to build an ML model that is going to give me a direct prediction of future prices, but instead to break this down into different components. If I feed a bunch of stats about a country, can an algo return a figure for the overall health of that economy, for example.
- 07121941 5y agoAnyone have any good books I can read to learn a bit more about this sort of application? I really like the finance stuff, feels like a natural marriage with DS and ML. I don't know nearly enough to expand on what I mean.
- Dopameaner 5y agoAdvances in Financial Machine Learning by Marcos Lopez de Prado is one of the best books i read last year. Especially on back testing, strategy risk are my fav.
- andyxor 5y agoway overrated imo, you will learn neither finance nor ML from this book, don't spend your money on this. Given author's tendency for excessive self-promotion I would take any of his advice with a grain of a salt. Besides he seems to have lost a ton of money for AQR, given his short tenure there. People who make money rarely publish. if someone is really interested in finance and ML learn each on its own, in finance start with Hull Derivatives, in ML may be some coursera course. Also quantstart blog has excellent tutorials and 'getting started' guides.
- person_of_color 5y agoAgreed. why does this get rated by everyone on the internet? I read it, and it's total amateur hour. Just the code examples are bewildering and atrocious. Still looking for an alternastive.
- deleted 5y ago[deleted]
- 92eandsa9a 5y agoWorking in the field (HFT market maker) and agree with this assessment. The book is pretty useless in practice - it's basically a vehicle of self promotion for his academic career.
- logicslave 5y agoMy honest opinion is that any ML related to finance that you learn outside of an investment firm is mostly a waste of time. The amount of data and nuance that successful models encompass is staggering. Unless you do something like scrape WSB and predict the next MEME stock, ML for finance makes no sense. You need credit card data, 10ks, tick data, economic forecasts, interest rates, fed moves, etc. You can carve out a niche, but if you do, forget about finding something on the internet that will tell you how to do that.
- canaryyellow 5y agoAre u saying that finance books dont really help ?
- andyxor 5y agofinance book do help, 'ML for finance' books rarely do, the domain is too new and attracts many charlatans. You're better off just learning ML from its classics like Hastie & Tibshirani , Tom Mitchell, or Bishop PRML. And learn finance from its own classics you can find in any "financial engineering" curriculum. There is one I liked though because of hands-on approach: "Machine Learning for Algorithmic Trading" https://www.amazon.com/Machine-Learning-Algorithmic-Trading-alternative-dp-1839217715/dp/1839217715/ref=dp_ob_title_bk https://www.amazon.com/Machine-Learning-Algorithmic-Trading-... just assume its listed "strategies" are a sort of primitive "hello world"
- dhruva_k 5y agoI think you have to read these books with the knowledge that the strategies you find in them are not going to be the ones to make you millions. No one ever got rich reading a book and copying exactly what it told them to, otherwise we'd all have our yachts in Miami. I personally have no issue with ML for finance books as long as they aren't just explaining rigid strategies, but more how to approach the topic of forecasting something as difficult as the financial markets. I think it's more about learning how to think when you're looking at these charts vs what is the one ML model that is going to bring me success for the rest of my life.