Machine Learning for Probabilistic Prediction

Machine Learning for Probabilistic Prediction Quantitative Finance Webinar, Stony Brook University (11/11/2022) Valery Manokhin, PhD, MBA, CFQ Speaker Bio • PhD in Machine Learning (2022) from Royal Holloway, University of London • During PhD conducted research and published papers in probabilistic and conformal prediction. PhD supervised by Prof. Vladimir Vovk, the creator of Conformal Prediction (Prof. Vladimir Vovk is the last PhD student of Andrey Kolmogorov) • Dr. Valery Manokhin holds a number of advanced MSc degrees including from the Moscow Institute of Physics and Technology (Physics/Math), UCL (Computational Statistics and Machine Learning), University of Sussex (Quant Finance) and an MBA from the University of Warwick • Published in the leading machine learning journals, including'Neurocomputing', 'Journal of Machine Learning Research' and'Machine Learning Journal', also in the industry journals including'Frontiers in Energy Research' • Created'Awesome Conformal Prediction' - the most comprehensive professionally curated resource on Conformal Prediction (over 900 stars on GitHub). 'Awesome Conformal Prediction' has been featured at the leading conferences such as ICML and in Kevin Murphy's bestselling book'Probabilistic Machine Learning: An Introduction' Outline of this webinar Introduction to Probabilistic Prediction Probability Calibration Introduction to Conformal Prediction Conformal Prediction for Classification Conformal Prediction for Regression Conclusion 3 Why Probabilistic Prediction? Machine Learning is primarily concerned with producing functions mapping objects onto predicted labels Classical statistical techniques - for small scale, low-dimensional data High-dimensional data does not necessarily follow well-known distributions and hence required new approaches (e.g.