Machine Learning in Finance

This course is a dense presentation of machine learning (ML) tools used in financial risk management, portfolio management, and trading. Ten classes are offered: two on risk management, two on loan portfolio management, three on portfolio optimization, and three on high-frequency trading. The risk classes cover the risk measurement of financial assets using distribution fitting, copulas, PCA, and splines. The loan portfolio management classes cover risk estimation and backtesting using logistic regression, regularization, clustering methods, and the applied statistics concepts such as parameter and process risk. Kaggle competitions for loan portfolios which used tree-based algorithms for predictions are also reviewed.