Machine Learning and AI in Finance

ISBN-13: 9780367703332 / Miękka / 2023 / 120 str.

Opis

This book explores advances in the application of innovative machine learning and artificial intelligence models to predict financial time series, to simulate the structure of the financial markets, to explore nonlinear causality models, to test investment strategies and to price financial options.

Spis treści

Foreword

Marcos Lopez de Prado

Introduction

Germán G. Creamer, Gary Kazantsev and Tomaso Aste

1. Universal features of price formation in financial markets: perspectives from deep learning

Justin Sirignano and Rama Cont

2. Far from the madding crowd: collective wisdom in prediction markets

Giulio Bottazzi and Daniele Giachini

3. Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics

Ying Chen, Wee Song Chua and Wolfgang Karl Härdle

4. Forecasting market states

Pier Francesco Procacci and Tomaso Aste

5. Encoding of high-frequency order information and prediction of short-term stock price by deep learning

Daigo Tashiro, Hiroyasu Matsushima, Kiyoshi Izumi and Hiroki Sakaji

6. Attention mechanism in the prediction of stock price movement by using LSTM: Evidence from the Hong Kong stock market

Shun Chen and Lei Ge

7. Learning multi-market microstructure from order book data

Geonhwan Ju, Kyoung-Kuk Kim and Dong-Young Lim

8. A non-linear causality test: a machine learning approach for energy futures forecast

Germán G. Creamer and Chihoon Lee

9. The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios

Igor Halperin

10. Detection of false investment strategies using unsupervised learning methods

Marcos López de Prado and Michael J. Lewis

O autorze

Germán G. Creamer is Associate Professor at Stevens Institute of Technology. He is also a visiting scholar at Stern School of Business, NYU; Adjunct Associate Professor, Columbia University and former Senior Manager, American Express.

Gary Kazantsev is the Head of Quant Technology Strategy, Office of the CTO at Bloomberg L. P., New York, USA.

Tomaso Aste is Professor of Complexity Science, Department of Computer Science, University College London, UK.