Applications of Machine Learning to Portfolio Management
Friday, December 08, 2017|
1:30pm - 2:30pm
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About the Event
I will illustrate through case studies two examples of how ML can be applied to problems in Finance: 1) Reinforcement Learning for trading decisions, and 2) Portfolio inference using techniques drawn from ML feature selection. In the first case we use Q-Learning to develop a trading policy. In the second case we are able to infer the contents of a portfolio based only on its daily value. Both of these projects have been in collaboration with David Byrd.
Tucker Balch is a professor in the School of Interactive Computing at Georgia Tech. He is interested in research problems concerning multi agent social behavior. This interest has led to research in a wide range of topics from financial markets to to tracking and modeling the behavior of ants, honeybees and monkeys. He teaches courses in Robotics, Machine Learning and Finance. He is also Chief Scientist and co-founder of Lucena Research, an investment software firm that applies Machine Learning and Big Data approaches to investment problems.
Faculty Sponsor: Michael Wellman
Open to: Public