Post de QuantFin

𝐌𝐚𝐜𝐡𝐢𝐧𝐞 𝐥𝐞𝐚𝐫𝐧𝐢𝐧𝐠 𝐟𝐨𝐫 𝐟𝐢𝐧𝐚𝐧𝐜𝐞 𝐒𝐞𝐫𝐢𝐞𝐬 - 𝐁𝐨𝐨𝐤 𝟑 📘 Machine Learning in Finance by Matthew F. Dixon, Igor Halperin, & Paul Bilokon 📘 🔍 From the Back Cover: This book introduces machine learning methods in finance, presenting a unified treatment of ML and various statistical and computational disciplines in quantitative finance, such as financial econometrics and discrete time stochastic control. Emphasis is placed on how theory and hypothesis tests inform the choice of algorithms for financial data modelling and decision making. 📊💡 With the trend towards increasing computational resources and larger datasets, machine learning has become a crucial skillset for the finance industry. 📈💻 This book is written for advanced graduate students, academics in financial econometrics, mathematical finance, and applied statistics, as well as quants and data scientists in quantitative finance. 🎓🔬 📖 Machine Learning in Finance: From Theory to Practice 📖 The book is divided into three parts, each covering theory and applications: Supervised Learning for Cross-Sectional Data 📈: - Covers Bayesian and frequentist perspectives. - Advanced material on neural networks (including deep learning) and Gaussian processes. Supervised Learning for Time Series Data ⏳: Focuses on the most common data type used in finance. Examples in trading, stochastic volatility, and fixed income modeling. Reinforcement Learning 🔄: Applications in trading, investment, and wealth management. Python code examples to support understanding of methodologies and applications. #MachineLearning #Finance #QuantitativeFinance #DataScience #ML #Python #TensorFlow #ReinforcementLearning #InvestmentManagement #TradingStrategie

📘 Machine Learning for Financial Risk Management with Python by Abdullah Karasan 📘 💡 Financial risk management is quickly evolving with the help of artificial intelligence. 🤖 With this practical book, developers, programmers, engineers, financial analysts, risk analysts, and quantitative and algorithmic analysts will examine Python-based machine learning and deep learning models for assessing financial risk. 🐍📊 Building hands-on AI-based financial modeling skills, you'll learn how to replace traditional financial risk models with ML models. 💻✨ 🌟 Key Highlights 🌟 - Review classical time series applications and compare them with deep learning models 📉 vs 🤖. - Explore volatility modeling to measure degrees of risk using support vector regression, neural networks, and deep learning 📈⚖️. - Improve market risk models (VaR and ES) using ML techniques and including liquidity dimension 💧📉. - Develop a credit risk analysis using clustering and Bayesian approaches 💳🔍. - Capture different aspects of liquidity risk with a Gaussian mixture model and Copula model 💧📊. - Use machine learning models for fraud detection 🚨🕵️. - Predict stock price crash and identify its determinants using machine learning models 📉📈. 📖 Book Overview 📖 Author Abdullah Karasan helps you explore the theory behind financial risk modeling before diving into practical ways of employing ML models in modeling financial risk using Python. 📘🐍 With this book, you will: 🌐 Review classical time series applications and see how they stack up against modern deep learning models. 📊 Explore volatility modeling to measure risk using advanced techniques like support vector regression, neural networks, and deep learning. 📉 Enhance market risk models (VaR and ES) with ML techniques, incorporating the liquidity dimension for a more robust analysis. 💳 Conduct credit risk analysis using sophisticated clustering and Bayesian methods. 💧 Address liquidity risk through Gaussian mixture and Copula models, capturing various risk aspects. 🚨 Detect fraud with machine learning models, safeguarding financial integrity. 📉 Predict stock price crashes and pinpoint their causes using state-of-the-art machine learning techniques. 💼 Whether you're a developer, analyst, or engineer, this book equips you with the tools and knowledge to transform financial risk management through machine learning. 🚀📘 📈 Embrace the future of financial risk management with Abdullah Karasan's insightful and practical guide! 🌟 #MachineLearning #Python #FinancialRiskManagement #ArtificialIntelligence #DataScience #Finance #DeepLearning #AI #QuantitativeAnalysis

📘 𝐌𝐚𝐜𝐡𝐢𝐧𝐞 𝐋𝐞𝐚𝐫𝐧𝐢𝐧𝐠 𝐟𝐨𝐫 𝐑𝐢𝐬𝐤 𝐂𝐚𝐥𝐜𝐮𝐥𝐚𝐭𝐢𝐨𝐧𝐬: 𝐀 𝐏𝐫𝐚𝐜𝐭𝐢𝐭𝐢𝐨𝐧𝐞𝐫'𝐬 𝐕𝐢𝐞𝐰 𝐛𝐲 𝐈𝐠𝐧𝐚𝐜𝐢𝐨 𝐑𝐮𝐢𝐳 . ✨ 𝐒𝐭𝐚𝐭𝐞-𝐨𝐟-𝐭𝐡𝐞-𝐚𝐫𝐭 𝐀𝐥𝐠𝐨𝐫𝐢𝐭𝐡𝐦𝐢𝐜 𝐃𝐞𝐞𝐩 𝐋𝐞𝐚𝐫𝐧𝐢𝐧𝐠 𝐚𝐧𝐝 𝐓𝐞𝐧𝐬𝐨𝐫𝐢𝐧𝐠 𝐓𝐞𝐜𝐡𝐧𝐢𝐪𝐮𝐞𝐬 𝐟𝐨𝐫 𝐅𝐢𝐧𝐚𝐧𝐜𝐢𝐚𝐥 𝐈𝐧𝐬𝐭𝐢𝐭𝐮𝐭𝐢𝐨𝐧𝐬 ✨ The computational demand for risk calculations in financial institutions has ballooned and shows no sign of stopping. 🚀 It's no longer viable to simply add more computing power to handle this increased demand. The solution? Algorithmic solutions based on deep learning and Chebyshev tensors offer a practical way to reduce costs while simultaneously enhancing risk calculation capabilities. 💡 🔍 𝐁𝐨𝐨𝐤 𝐎𝐯𝐞𝐫𝐯𝐢𝐞𝐰 🔍 "Machine Learning for Risk Calculations: A Practitioner’s View" provides an in-depth review of several algorithmic solutions and demonstrates how they can be used to overcome the massive computational burden of risk calculations in financial institutions. 🏦💻 📖 𝐊𝐞𝐲 𝐇𝐢𝐠𝐡𝐥𝐢𝐠𝐡𝐭𝐬 📖 - Review Fundamental Techniques: Start with a thorough review of deep learning and Chebyshev tensors. 🧠🔢 - Algorithmic Tools: Discover how these tools, combined with fundamental techniques, solve real-world problems encountered by financial institutions regularly. 🛠️📊 - Practical Applications: Numerical tests and examples show practical applications, including XVA, Counterparty Credit Risk, IMM capital, PFE, VaR, FRTB, Dynamic Initial Margin, pricing function calibration, volatility surface parametrization, portfolio optimization, and more. 📈💹 📚 𝐖𝐡𝐚𝐭 𝐘𝐨𝐮 𝐖𝐢𝐥𝐥 𝐋𝐞𝐚𝐫𝐧 📚 Fundamentals: Deep learning and Chebyshev tensors 📘🧠 Pioneering Techniques: Algorithmic solutions for complex risk calculations 🚀🔬 Real-life Applications: Apply solutions to various risk calculations 📈💹 Improved Risk Management: Overcome limited computational power for better risk management 🛡️📊 #MachineLearning #RiskManagement #Finance #DeepLearning #ChebyshevTensors #AlgorithmicSolutions #FinancialInstitutions #QuantitativeFinance #RiskCalculations

𝐌𝐚𝐜𝐡𝐢𝐧𝐞 𝐥𝐞𝐚𝐫𝐧𝐢𝐧𝐠 𝐟𝐨𝐫 𝐟𝐢𝐧𝐚𝐧𝐜𝐞 𝐒𝐞𝐫𝐢𝐞𝐬 - 𝐁𝐨𝐨𝐤 𝟏 📘 Machine Learning for Finance: Principles and Practice for Financial Insiders by Jannes Klaas 📘 . 🎯 𝐊𝐞𝐲 𝐁𝐞𝐧𝐞𝐟𝐢𝐭𝐬 🎯 🚀 Explore advances in machine learning and see how to apply them in financial industries. 🧠 Gain expert insights into the workings of machine learning, emphasizing financial applications. 🌟 Discover advanced ML approaches like neural networks, GANs, and reinforcement learning. 📖 𝐃𝐞𝐬𝐜𝐫𝐢𝐩𝐭𝐢𝐨𝐧 📖 "Machine Learning for Finance" dives into the latest advancements in machine learning and demonstrates their applications across the financial sector, including insurance, transactions, and lending. This book explains the core concepts and algorithms behind major ML techniques, providing example Python code so you can implement these models yourself. 📊🐍 Drawing from Jannes Klaas' experience in conducting ML training for financial professionals, the book emphasizes advanced ML concepts and versatile ideas rather than offering ready-made financial algorithms. It systematically explores how machine learning works with structured data, text, images, and time series. 📅🖼️ You'll delve into generative adversarial learning, reinforcement learning, debugging, and launching ML products. Later chapters discuss tackling bias in machine learning, and the book concludes with an exploration of Bayesian inference and probabilistic programming. 🧩📈 📚 𝐖𝐡𝐚𝐭 𝐘𝐨𝐮 𝐖𝐢𝐥𝐥 𝐋𝐞𝐚𝐫𝐧 📚 - 📊 Apply ML to structured data, natural language, photographs, and written text. - 🔍 Detect fraud, forecast financial trends, analyze customer sentiments, and more with ML. - 🛠️ Implement heuristic baselines, time series, generative models, and reinforcement learning using Python, scikit-learn, Keras, and TensorFlow. - 🤖 Delve into neural networks, and examine the uses of GANs and reinforcement learning. - 🐞 Debug ML applications and prepare them for launch. - ⚖️ Address bias and privacy concerns in machine learning. For financial professionals eager to harness the power of machine learning, this book is a goldmine of practical insights and hands-on examples. Whether you’re looking to detect fraud, predict market trends, or analyze customer data, Klaas’ expertise will guide you every step of the way. 🌟💼 #MachineLearning #Finance #AI #DataScience #Python #NeuralNetworks #GANs #ReinforcementLearning

𝐌𝐚𝐜𝐡𝐢𝐧𝐞 𝐋𝐞𝐚𝐫𝐧𝐢𝐧𝐠 𝐢𝐧 𝐅𝐢𝐧𝐚𝐧𝐜𝐞 - 𝐁𝐨𝐨𝐤 𝟒 📘 "Machine Learning for Asset Managers" by Mark S. Rzepczynski 📘 delves into the transformative potential of machine learning (ML) in the realm of asset management. 🌟 Rzepczynski argues that traditional techniques often fall short, and ML offers powerful alternatives to enhance theory and improve data clarity. 📈💡 Here are the key takeaways: 🔑 Key Takeaways 🔑 Covariance Matrices 📊: Traditional covariance matrices are often noisy. ML techniques help extract cleaner signals, improving regression analysis and optimization for better portfolio management. Distance and Entropy 🔍: Going beyond correlation, Rzepczynski introduces the distance matrix and concepts from information theory like entropy. These tools help capture nonlinear effects and outliers more effectively than traditional correlation matrices. Financial Labeling 🏷️: He emphasizes the importance of correctly labeling financial data. Accurate labels are crucial for predictive models that forecast market directions, which are more relevant to traders than precise price points. P-Values and Statistical Significance 📉: The book critiques the reliance on p-values in finance. ML alternatives like Mean Decreasing Impurity (MDI) and Mean Decreasing Accuracy (MDA) provide more reliable measures. Portfolio Optimization 🧩: Addressing the "Markowitz curse," Rzepczynski suggests hierarchical clustering and nested clustered optimization to better manage portfolio construction and data relationships. Overfitting Tests ⚠️: He discusses the critical issue of overfitting in model development. ML techniques and Monte Carlo simulations can identify false strategies and assess the likelihood of statistical errors, saving time and resources. 📚 Book Highlights 📚 While the book is rich with practical insights and Python code for implementation, it may be challenging for those without a strong quantitative background. However, it stands out for its concise and practical introduction to applying ML in asset management, addressing common misconceptions, and demonstrating how these advanced techniques can solve complex financial problems. 📘💡 This book is a must-read for anyone interested in leveraging machine learning to enhance asset management strategies. 🌟📈 #MachineLearning #AssetManagement #Finance #DataScience #Investing #QuantitativeAnalysis

𝐀𝐬𝐬𝐞𝐭 𝐌𝐚𝐧𝐚𝐠𝐞𝐦𝐞𝐧𝐭 𝐒𝐞𝐫𝐢𝐞𝐬 𝐁𝐨𝐨𝐤 𝟖 📘 𝐀𝐝𝐯𝐚𝐧𝐜𝐞𝐬 𝐢𝐧 𝐀𝐜𝐭𝐢𝐯𝐞 𝐏𝐨𝐫𝐭𝐟𝐨𝐥𝐢𝐨 𝐌𝐚𝐧𝐚𝐠𝐞𝐦𝐞𝐧𝐭: 𝐍𝐞𝐰 𝐃𝐞𝐯𝐞𝐥𝐨𝐩𝐦𝐞𝐧𝐭𝐬 𝐢𝐧 𝐐𝐮𝐚𝐧𝐭𝐢𝐭𝐚𝐭𝐢𝐯𝐞 𝐈𝐧𝐯𝐞𝐬𝐭𝐢𝐧𝐠 (𝟏𝐬𝐭 𝐄𝐝𝐢𝐭𝐢𝐨𝐧) 📘 𝐛𝐲 𝐑𝐢𝐜𝐡𝐚𝐫𝐝 𝐂. 𝐆𝐫𝐢𝐧𝐨𝐥𝐝 𝐚𝐧𝐝 𝐑𝐨𝐧𝐚𝐥𝐝 𝐍. 𝐊𝐚𝐡𝐧. 📈 Whether you’re a portfolio manager, financial adviser, or investing novice, this essential follow-up to the classic guide on active portfolio management provides everything you need to beat the market consistently. 🌟 📚 𝐀𝐝𝐯𝐚𝐧𝐜𝐞𝐬 𝐢𝐧 𝐀𝐜𝐭𝐢𝐯𝐞 𝐏𝐨𝐫𝐭𝐟𝐨𝐥𝐢𝐨 𝐌𝐚𝐧𝐚𝐠𝐞𝐦𝐞𝐧𝐭 keeps you fully up to date on the issues, trends, and challenges in the world of active management. It demonstrates how to apply the latest advances in Grinold and Kahn’s renowned approach to meet current challenges. The book is composed of articles from leading management publications, including several that have won the Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award. 🏆 📊 𝐍𝐞𝐰 𝐈𝐧𝐬𝐢𝐠𝐡𝐭𝐬 𝐂𝐨𝐯𝐞𝐫𝐞𝐝: 📊 🔄 Dynamic Portfolio Management ⚖️ Signal Weighting ⚙️ Implementation Efficiency 📑 Holdings-based Attribution 📈 Expected Returns 🛡️ Risk Management 🏗️ Portfolio Construction 💸 Fees Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: 📖 The Fundamentals of Successful Active Management 🚀 Advancing the Authors’ Framework 🌐 Applying the Framework in Today’s Investing Landscape 🌟 Why This Book is Essential: 🌟 The culmination of many decades of investing experience and research, Advances in Active Portfolio Management makes complex issues easy to understand and put into practice. It’s a one-stop resource for success in the world of investing today. 📈💼 Whether you're enhancing your existing strategies or developing new ones, this comprehensive guide is designed to equip you with the tools and knowledge to excel in active portfolio management. 📊📚 #ActiveManagement #Investing #Finance #PortfolioManagement #QuantitativeInvesting #InvestmentStrategies

𝐒𝐞𝐫𝐢𝐞 𝐆𝐞𝐬𝐭𝐢𝐨𝐧 𝐝𝐞𝐬 𝐀𝐜𝐭𝐢𝐟𝐬 - 𝐋𝐢𝐯𝐫𝐞 𝟔 📘 Gestion Quantitative de Portefeuille : L'Art et la Science de l'Arbitrage Statistique (1ère Édition) 📘 Dans "Gestion Quantitative de Portefeuille", le physicien de renom devenu quant, le Dr Michael Isichenko, offre une revue systématique du trading quantitatif des actions, également connu sous le nom d'arbitrage statistique. Ce livre regorge d'informations précieuses et de connaissances pratiques pour les débutants comme pour les professionnels expérimentés. 📊💡 🔍 𝐀𝐩𝐩𝐫𝐞𝐧𝐭𝐢𝐬𝐬𝐚𝐠𝐞𝐬 𝐂𝐥𝐞𝐬 🔍 Apprentissage Automatique pour la Prévision 📈 Apprenez à utiliser les méthodes d'apprentissage automatique pour prévoir les rendements des actions dans des marchés financiers efficaces. Combiner les Prévisions 🔄 Découvrez des techniques pour combiner plusieurs prévisions en un seul modèle en utilisant l'apprentissage automatique secondaire, la réduction de dimensionnalité et d'autres méthodes avancées. Éviter le Surapprentissage ⚠️ Comprenez comment éviter les pièges du surapprentissage et la malédiction de la dimensionnalité, avec des insights sur des sujets de recherche actifs comme le "surapprentissage bénin" en apprentissage automatique. Construction de Portefeuille 📊 Explorez les aspects théoriques et pratiques de la construction de portefeuille, y compris les modèles de risque multifactoriels, les coûts de trading multi-périodes et le levier optimal. 📘 Contenu du Livre 📘 - Acquisition de Données Financières 🗃️ - Apprentissage de Modèles à partir de Données Historiques 📜 - Génération et Combinaison de Prévisions 📈 - Gestion des Risques ⚖️ - Construction de Portefeuilles d'Actions Optimisés 🏦 - Exécution Efficace des Transactions 🚀 Parfait pour les professionnels de l'investissement, tels que les traders quantitatifs et les gestionnaires de portefeuille, "Gestion Quantitative de Portefeuille" trouvera également sa place dans les bibliothèques des data scientists et des étudiants en disciplines statistiques et quantitatives. C'est un guide indispensable pour quiconque souhaite approfondir sa compréhension de l'application de la science des données, de l'apprentissage automatique et de l'optimisation au marché boursier. 📚💼 #TradingQuantitatif #GestionDePortefeuille #ArbitrageStatistique #ApprentissageAutomatique #ScienceDesDonnées #Investissement #Finance

𝐒𝐞𝐫𝐢𝐞 𝐆𝐞𝐬𝐭𝐢𝐨𝐧 𝐝𝐞𝐬 𝐀𝐜𝐭𝐢𝐟𝐬 - 𝐋𝐢𝐯𝐫𝐞 𝟕 📘 Gestion Avancée de Portefeuille : Un Guide Quantitatif pour les Investisseurs Fondamentaux 📘 1ère Édition par Giuseppe A. Paleologo. Si vous avez de grandes idées d'investissement et souhaitez les transformer en portefeuilles hautement rentables, ce livre est fait pour vous. 📈💼 📊 𝐏𝐫𝐢𝐧𝐜𝐢𝐩𝐚𝐮𝐱 𝐀𝐯𝐚𝐧𝐭𝐚𝐠𝐞𝐬 📊 Conçu pour les analystes en actions fondamentales et les gestionnaires de portefeuille, actuels et futurs. Quel que soit votre stade de carrière, vous avez des idées d'investissement précieuses mais vous avez toujours besoin de connaissances pour les transformer en argent. 💡💰 Le livre introduit un cadre pour la construction de portefeuilles et la gestion des risques, basé sur une théorie solide et testé par des gestionnaires de portefeuille fondamentaux à succès. Accent sur la théorie pratique pertinente pour les gestionnaires de portefeuille fondamentaux, vous permettant de convertir des idées en une stratégie de portefeuille à la fois rentable et résiliente. 📚🔍 📖 𝐂𝐞 𝐪𝐮𝐞 𝐯𝐨𝐮𝐬 𝐚𝐥𝐥𝐞𝐳 𝐚𝐩𝐩𝐫𝐞𝐧𝐝𝐫𝐞 📖 - Séparer les moteurs de rendement spécifiques aux actions des moteurs de rendement de l'environnement d'investissement 📊🔍 - Comprendre les thèmes d'investissement actuels 💡📈 - Dimensionner vos positions en liquidités en fonction de vos idées d'investissement 💵📏 - Mesurer et décomposer le risque 🛡️📉 - Couvrir le risque que vous ne voulez pas 🔄🛡️ - Utiliser la diversification à votre avantage 📊🌀 - Gérer les pertes et contrôler le risque de queue ⚠️📉 - Fixer votre levier 📈🔍 #Investir #Finance #GestionDePortefeuille #InvestissementQuantitatif #StratégiesDInvestissement