mycourse:quantitative_risk_management
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===== 教学计划 ===== | ===== 教学计划 ===== | ||
- | | 序号 | 主题 | 时间 | 讲义 | | + | | 序号 | 主题 | 时间 | 讲义 |
- | | 1 | Introduction | wk1 (wk10) | [[http:// | + | | 1 | Introduction | wk5 (wk14) | [[http:// |
- | | 2 | Linear Regression | + | | 2 | Risk Models and Market Risk | wk6 (wk15) | [[http:// |
- | | 3 | Dimension Reduction | wk3 (wk12) | + | | 3 | Risk Models |
- | | 4 | Trees, Forest, | + | | 4 | Credit Risk Management |
- | | 5 | Deep Neural Networks | wk5-6 (wk14-15) | | | + | |
- | | 6 | MDP & Reinforcement Learning | + | |
- | | 7 | Course Project Presentation | + | |
- | **Jupyter Notebooks** for the course are accessible via the [[https:// | ||
===== 教材与参考书 ===== | ===== 教材与参考书 ===== | ||
- | - Murphy K P. Probabilistic machine learning: an introduction[M]. MIT press, 2022. | + | - Jorion |
- | - Dixon M F, Halperin I, Bilokon | + | - Jorion |
- | - Nagel S. Machine learning in asset pricing[M]. Princeton University Press, 2021. | + | - Hull J. Risk management and financial institutions, |
- | - de Prado M M L. Machine learning for asset managers[M]. Cambridge University Press, 2020. | + | - McNeil A J, Frey R, Embrechts P. Quantitative risk management: concepts, techniques and tools-revised edition[M]. Princeton university press, 2015. |
- | | + | |
+ | ===== 考试 ===== | ||
- | ===== 主要参考文献 ===== | + | * 考试时间:第9周周4(4月25日)上午9: |
+ | * 地点:文添楼314 | ||
+ | * 形式:开卷、笔试、不能使用联网的计算机和手机、平板等终端 | ||
+ | * 题型:简答、计算、论述 | ||
- | [1] Athey S. The impact of machine learning on economics[J]. The economics of artificial intelligence: | ||
- | |||
- | [2] Athey S, Imbens G W. Machine learning methods that economists should know about[J]. Annual Review of Economics, 2019, 11: 685-725. | ||
- | [3] Mullainathan S, Spiess J. Machine learning: an applied econometric approach[J]. Journal of Economic Perspectives, | + | ===== 主要参考文献 ===== |
- | + | ||
- | [4] Cohen, Samuel N. and Snow, Derek and Szpruch, Lukasz, Black-Box Model Risk in Finance (February 9, 2021). Available at SSRN: https:// | + | |
- | + | ||
- | [5] Goldstein I, Spatt C S, Ye M. Big data in finance[J]. The Review of Financial Studies, 2021, 34(7): 3213-3225. | + | |
- | + | ||
- | [6] Erel I, Stern L H, Tan C, et al. Selecting directors using machine learning[J]. The Review of Financial Studies, 2021, 34(7): 3226-3264. | + | |
- | + | ||
- | [7] Li K, Mai F, Shen R, et al. Measuring corporate culture using machine learning[J]. The Review of Financial Studies, 2021, 34(7): 3265-3315. | + | |
- | + | ||
- | [8] Amel-Zadeh, Amir and Calliess, Jan-Peter and Kaiser, Daniel and Roberts, Stephen, Machine Learning-Based Financial Statement Analysis (November 25, 2020). Available at SSRN: https:// | + | |
- | + | ||
- | [9] Gu S, Kelly B, Xiu D. Empirical asset pricing via machine learning[J]. The Review of Financial Studies, 2020, 33(5): 2223-2273. | + | |
- | + | ||
- | [10] Giglio, Stefano and Kelly, Bryan T. and Xiu, Dacheng, Factor Models, Machine Learning, and Asset Pricing (October 15, 2021). Available at SSRN: https:// | + | |
- | + | ||
- | [11] Gu S, Kelly B, Xiu D. Autoencoder asset pricing models[J]. Journal of Econometrics, | + | |
- | + | ||
- | [12] Kelly B T, Pruitt S, Su Y. Characteristics are covariances: | + | |
- | + | ||
- | [13] Kozak S, Nagel S, Santosh S. Shrinking the cross-section[J]. Journal of Financial Economics, 2020, 135(2): 271-292. | + | |
- | + | ||
- | [14] Tobek O, Hronec M. Does it pay to follow anomalies research? machine learning approach with international evidence[J]. Journal of Financial Markets, 2021, 56: 100588. | + | |
- | + | ||
- | [15] Baba Yara, Fahiz and Boyer, Brian H. and Davis, Carter, The Factor Model Failure Puzzle (November 19, 2021). Available at SSRN: https:// | + | |
- | + | ||
- | [16] Chen, Luyang and Pelger, Markus and Zhu, Jason, Deep Learning in Asset Pricing (April 4, 2019). Available at SSRN: https:// | + | |
- | + | ||
- | [17] Bryzgalova, Svetlana and Pelger, Markus and Zhu, Jason, Forest Through the Trees: Building Cross-Sections of Stock Returns (September 25, 2020). Available at SSRN: https:// | + | |
- | + | ||
- | [18] Giglio S, Liao Y, Xiu D. Thousands of alpha tests[J]. The Review of Financial Studies, 2021, 34(7): 3456-3496. | + | |
- | + | ||
- | [19] Duarte V, Fonseca J, Goodman A S, et al. Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle[R]. National Bureau of Economic Research, 2021. | + | |
- | + | ||
- | [20] Jiang, Jingwen and Kelly, Bryan T. and Xiu, Dacheng, (Re-)Imag(in)ing Price Trends (December 1, 2020). Chicago Booth Research Paper No. 21-01, Available at SSRN: https:// | + | |
- | + | ||
- | [21] Ait-Sahalia Y, Xiu D. Using principal component analysis to estimate a high dimensional factor model with high-frequency data[J]. Journal of Econometrics, | + | |
- | + | ||
- | [22] Aït-Sahalia Y, Xiu D. Principal component analysis of high-frequency data[J]. Journal of the American Statistical Association, | + | |
- | ===== 考核方式 ===== | + | **[[: |
- | - 考核方式:课程项目 | + | - Longerstaey J, Spencer M. Riskmetricstm—technical document[J]. Morgan Guaranty Trust Company of New York: New York, 1996, 51: 54. |
- | - 课程项目形式:(全部或部分)复制经典论文 | + | - Mina J, Xiao J Y. Return to RiskMetrics: the evolution of a standard[J]. RiskMetrics Group, 2001, 1: 1-11. |
- | - DDL:15-Jun-2022, 20:00 | + | - Morgan J P. Creditmetrics-technical document[J]. JP Morgan, New York, 1997. |
- | - 提交内容:课程报告+PPT+项目展示视频 | + | |
- | - 提交方式:百度网盘(提前30天提供搜集二维码) {{:mycourse:mlinfin-report-2022.jpg?400|}} | + | |
- | - 奖励:主动参加17周课堂展示的起评分以100分计(其他人起评分按95计算) | + | |
mycourse/quantitative_risk_management.1653355063.txt.gz · 最后更改: 2023/11/10 12:12 (外部编辑)