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Machine Learning for Asset Managers

Name: Machine Learning for Asset Managers
Brand: Cambridge University Press
SKU: 39906694
Price: 26.16 EUR
Availability: InStock
Author: Marcos M. Lopez de Prado
ISBN: 9781108885409

Marcos M. Lopez de Prado

Language

English

E-book Adobe ePub DRM

Libristo code: 39906694

Publishers Cambridge University Press, April 2020

Successful investment strategies are specific implementations of general theories. An investment str... Full description

Libristo code: 39906694

64 b

26.16 €

51.16 лв

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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 "e;learn"e; 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.