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Machine Learning for Asset Managers (Elements in Quantitative Finance)

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Marque : GENERIC
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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 ...

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Description produit

Marque
GENERIC
Titre principal
Machine Learning for Asset Managers (Elements in Quantitative Finance)
Editeur
Cambridge University Press
Type de produit
paperback
Présentation du livre
paperback
Release date
30 أبريل 2020
Langue d'origine
الإنجليزية
ISBN
1108792898
Dimensions
15.24 x 0.89 x 22.86 cm
Langue - Librairie
الإنجليزية
Résumé
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. اقرأ المزيد
Auteur(s)
Marcos M. López de Prado
Date de parution
30 أبريل 2020