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Machine learning for asset managers

López de Prado, Marcos Mailoc.

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Machine learning for asset managers

Record Type:	Electronic resources : Monograph/item
Title/Author:	Machine learning for asset managers/ Marcos M. López de Prado.
Author:	López de Prado, Marcos Mailoc.
Published:	Cambridge :Cambridge University Press, : 2020.,
Description:	141 p. :ill., digital ;24 cm.
Notes:	Title from publisher's bibliographic system (viewed on 08 Apr 2020).
Subject:	Asset-liability management - Data processing. -
Online resource:	https://doi.org/10.1017/9781108883658
ISBN:	9781108883658

Machine learning for asset managers
López de Prado, Marcos Mailoc.

Machine learning for asset managers[electronic resource] /Marcos M. López de Prado. - Cambridge :Cambridge University Press,2020. - 141 p. :ill., digital ;24 cm. - Cambridge elements. Elements in quantitative finance. - Cambridge elements.Elements in quantitative finance..

Title from publisher's bibliographic system (viewed on 08 Apr 2020).

Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules. The purpose of this Element is to introduce machine learning (ML) tools that can help asset managers discover economic and financial theories. ML is not a black box, and it does not necessarily overfit. ML tools complement rather than replace the classical statistical methods. Some of ML's strengths include (1) a focus on out-of-sample predictability over variance adjudication; (2) the use of computational methods to avoid relying on (potentially unrealistic) assumptions; (3) the ability to "learn" complex specifications, including nonlinear, hierarchical, and noncontinuous interaction effects in a high-dimensional space; and (4) the ability to disentangle the variable search from the specification search, robust to multicollinearity and other substitution effects.

ISBN: 9781108883658Subjects--Topical Terms:

3615857
Asset-liability management
--Data processing.

LC Class. No.: HG1615.25 / .L66 2020

Dewey Class. No.: 332.10681

Machine learning for asset managers
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