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mycourse:machine_learning_and_finance [2024/09/05 21:39] – [教学计划] kkmycourse:machine_learning_and_finance [2024/09/30 12:00] (当前版本) – [教学计划] kk
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 | 2 | Shallow Learning Algorithms | wk2-wk3 | [[http://kktim.cn/teaching/mlinfin/MLinFin-L02-Regression-slides.html|L02-regression-slides]]\\ [[http://kktim.cn/teaching/mlinfin/MLinFin-L03-Classification-slides.html|L03-classification-slides]]\\ [[http://kktim.cn/teaching/mlinfin/MLinFin-L04-Trees-slides.html|L04-trees-and-ensemble-learning-slides]]\\ [[http://kktim.cn/teaching/mlinfin/MLinFin-L05-Unsupervised-Learning-slides.html|L05-unsupervised-learning-slides]] | | 2 | Shallow Learning Algorithms | wk2-wk3 | [[http://kktim.cn/teaching/mlinfin/MLinFin-L02-Regression-slides.html|L02-regression-slides]]\\ [[http://kktim.cn/teaching/mlinfin/MLinFin-L03-Classification-slides.html|L03-classification-slides]]\\ [[http://kktim.cn/teaching/mlinfin/MLinFin-L04-Trees-slides.html|L04-trees-and-ensemble-learning-slides]]\\ [[http://kktim.cn/teaching/mlinfin/MLinFin-L05-Unsupervised-Learning-slides.html|L05-unsupervised-learning-slides]] |
 | 3 | Deep Neural Networks | wk4 | [[http://kktim.cn/teaching/mlinfin/MLinFin-L06-Deep-Learning-slides.html|L06-deep-learning-I-slides]], [[http://kktim.cn/teaching/mlinfin/MLinFin-L06-Deep-Learning-II-slides.html|L06-Deep-Learning-II-slides]] | | 3 | Deep Neural Networks | wk4 | [[http://kktim.cn/teaching/mlinfin/MLinFin-L06-Deep-Learning-slides.html|L06-deep-learning-I-slides]], [[http://kktim.cn/teaching/mlinfin/MLinFin-L06-Deep-Learning-II-slides.html|L06-Deep-Learning-II-slides]] |
-| 4 | Literature Studies | wk5-wk8 | - | +| 4 | Literature Studies | wk5-wk8 | [[http://kktim.cn/teaching/mlinfin/MLinFin-LXX-Presentation-schedule-slides.html|Presentation Schedule]] | 
-| 4 | MDP & Reinforcement Learning | by yourself | [[http://kktim.cn/teaching/mlinfin/MLinFin-L06-MDP-in-Finance-slides.html|L07a-MDP-slides]]\\  [[http://kktim.cn/teaching/mlinfin/MLinFin-L07-Advances-of-RL-in-Finance-slides.html|L07b-RL-slides]] | +| 5 | MDP & Reinforcement Learning | by yourself | [[http://kktim.cn/teaching/mlinfin/MLinFin-L06-MDP-in-Finance-slides.html|L07a-MDP-slides]]\\  [[http://kktim.cn/teaching/mlinfin/MLinFin-L07-Advances-of-RL-in-Finance-slides.html|L07b-RL-slides]] | 
-| 5 | SP1: Machine Learning & Asset Pricing & Financial Bigdata | by yourself | [[https://www.nber.org/papers/w31502|NBER Working Paper: Financial Machine Learning]] | +| 6 | SP1: Machine Learning & Asset Pricing & Financial Bigdata | by yourself | [[https://www.nber.org/papers/w31502|NBER Working Paper: Financial Machine Learning]] | 
-| 6 | ST2: Machine Learning and Causal Inference | by yourself | [[https://www.bilibili.com/video/BV19Y4y117st/?vd_source=0a4eefc320d2637b710b584ebc1ce471|NBER SI 2015 Methods Lectures - Machine Learning for Economists]]\\ [[https://www.bilibili.com/video/BV1KY4y127Qs/?vd_source=0a4eefc320d2637b710b584ebc1ce471|2018 AEA Continuing Education Webcasts: Machine Learning and Econometrics (Susan Athey, Guido Imbens)]]\\ [[https://www.gsb.stanford.edu/faculty-research/centers-initiatives/sil/research/methods/ai-machine-learning/short-course|Machine Learning & Causal Inference: A Short Course]] | +| 7 | ST2: Machine Learning and Causal Inference | by yourself | [[https://www.bilibili.com/video/BV19Y4y117st/?vd_source=0a4eefc320d2637b710b584ebc1ce471|NBER SI 2015 Methods Lectures - Machine Learning for Economists]]\\ [[https://www.bilibili.com/video/BV1KY4y127Qs/?vd_source=0a4eefc320d2637b710b584ebc1ce471|2018 AEA Continuing Education Webcasts: Machine Learning and Econometrics (Susan Athey, Guido Imbens)]]\\ [[https://www.gsb.stanford.edu/faculty-research/centers-initiatives/sil/research/methods/ai-machine-learning/short-course|Machine Learning & Causal Inference: A Short Course]] | 
  
  
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   - de Prado M M L. Machine learning for asset managers[M]. Cambridge University Press, 2020.   - de Prado M M L. Machine learning for asset managers[M]. Cambridge University Press, 2020.
   - Ashwin Rao, Tikhon Jelvis. Foundations of Reinforcement Learning with Applications in Finance[M]. Stanford University, 2022.   - Ashwin Rao, Tikhon Jelvis. Foundations of Reinforcement Learning with Applications in Finance[M]. Stanford University, 2022.
 +  - Denev A, Amen S. The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers[M]. John Wiley & Sons, 2020.
  
 ===== 考核方式 ===== ===== 考核方式 =====
  
   - 考核方式：课程项目   - 考核方式：课程项目
 +    - 项目展示：40%
 +    - 项目报告：60%
   - 课程项目内容（**同时**）包括：   - 课程项目内容（**同时**）包括：
-    - （全部或部分）复现经典论文 +    - 文献评述 
-    - 研究计划或综述+    - （全部或部分）复现**经典**论文/其他（拓展）结果 
 +    - 进一步研究计划 
 +    - 主要参考文献 
 +    - 附件（数据、代码等）
   - 要求   - 要求
-    - 内容必须**同时**与**机器学习**和**金融**密切相关+    - 内容必须**同时**与**机器学习**和**金融研究**密切相关
     - 无任何学术不端行为     - 无任何学术不端行为
-  - **DDL：15-Dec-2023, 20:00** +  - **DDL：15-Dec-2024, 20:00**：项目报告+PPT
-  - 提交内容：课程报告+PPT+项目展示视频+
   - 提交方式：百度网盘    - 提交方式：百度网盘 
-{{:mycourse:mlinfin2023-real-final.jpg?800|}} 
  
 ===== 学习资源 ===== ===== 学习资源 =====
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  [5] Kelly B T, Xiu D. Financial machine learning[R]. National Bureau of Economic Research, 2023.  [5] Kelly B T, Xiu D. Financial machine learning[R]. National Bureau of Economic Research, 2023.
 Machine Learning and Asset Pricing Machine Learning and Asset Pricing
 +
 +**Machine Learning and Asset Pricing**
  
  [6] Aït-Sahalia Y, Xiu D. Using principal component analysis to estimate a high dimensional factor model with high-frequency data[J]. Journal of Econometrics, 2017, 201(2): 384-399.  [6] Aït-Sahalia Y, Xiu D. Using principal component analysis to estimate a high dimensional factor model with high-frequency data[J]. Journal of Econometrics, 2017, 201(2): 384-399.
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  [14] Kozak S, Nagel S, Santosh S. Shrinking the cross-section[J]. Journal of Financial Economics, 2020, 135(2): 271-292.  [14] Kozak S, Nagel S, Santosh S. Shrinking the cross-section[J]. Journal of Financial Economics, 2020, 135(2): 271-292.
  
- [15] Baba Yara, Fahiz and Boyer, Brian H. and Davis, Carter, The Factor Model Failure Puzzle (November 19, 2021). Available at SSRN: https://ssrn.com/abstract=3967588 or http://dx.doi.org/10.2139/ssrn.3967588+ [15] Baba Yara, Fahiz and Boyer, Brian H. and Davis, Carter, Messy Asset Pricing: Can AI Models Lead to a Consensus? (November 19, 2021). Available at SSRN: https://ssrn.com/abstract=3967588 or http://dx.doi.org/10.2139/ssrn.3967588
  
  [16] Bianchi D, Büchner M, Tamoni A. Bond risk premiums with machine learning[J]. The Review of Financial Studies, 2021, 34(2): 1046-1089.  [16] Bianchi D, Büchner M, Tamoni A. Bond risk premiums with machine learning[J]. The Review of Financial Studies, 2021, 34(2): 1046-1089.
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  [45] Bybee L, Kelly B, Manela A, et al. Business news and business cycles[J]. The Journal of Finance, 2021.  [45] Bybee L, Kelly B, Manela A, et al. Business news and business cycles[J]. The Journal of Finance, 2021.
  
- [46] Goldstein I, Spatt C S, Ye M. Big data in finance[J]. The Review of Financial Studies, 2021, 34(7): 3213-3225.+ <del>[46] Goldstein I, Spatt C S, Ye M. Big data in finance[J]. The Review of Financial Studies, 2021, 34(7): 3213-3225. 
 +</del>
  
  [47] Bose D, Cordes H, Nolte S, et al. Decision weights for experimental asset prices based on visual salience[J]. The Review of Financial Studies, 2022, 35(11): 5094-5126.  [47] Bose D, Cordes H, Nolte S, et al. Decision weights for experimental asset prices based on visual salience[J]. The Review of Financial Studies, 2022, 35(11): 5094-5126.
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  [51] Kim, Alex G. and Muhn, Maximilian and Nikolaev, Valeri V., Financial Statement Analysis with Large Language Models (May 20, 2024). Chicago Booth Research Paper Forthcoming, Fama-Miller Working Paper, Available at SSRN: https://ssrn.com/abstract=4835311 or http://dx.doi.org/10.2139/ssrn.4835311  [51] Kim, Alex G. and Muhn, Maximilian and Nikolaev, Valeri V., Financial Statement Analysis with Large Language Models (May 20, 2024). Chicago Booth Research Paper Forthcoming, Fama-Miller Working Paper, Available at SSRN: https://ssrn.com/abstract=4835311 or http://dx.doi.org/10.2139/ssrn.4835311
  
- [52] Murray S, Xia Y, Xiao H. Charting by machines[J]. Journal of Financial Economics, 2024, 153: 103791.+ <del>[52] Murray S, Xia Y, Xiao H. Charting by machines[J]. Journal of Financial Economics, 2024, 153: 103791.</del>
  
  [53] Potluru V K, Borrajo D, Coletta A, et al. Synthetic Data Applications in Finance[J]. arXiv preprint arXiv:2401.00081, 2024.  [53] Potluru V K, Borrajo D, Coletta A, et al. Synthetic Data Applications in Finance[J]. arXiv preprint arXiv:2401.00081, 2024.
mycourse/machine_learning_and_finance.1725543577.txt.gz · 最后更改: 2024/09/05 21:39 由 kk
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