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Tinbergen Institute Lectures

Machine Learning in Finance

  • Series
    Econometrics Lecture Series
  • Speaker(s)
    Yacine Ait-Sahalia (Princeton University, United States)
  • Field
  • Location
    Erasmus University Rotterdam
  • Date

    November 10, 2021 until November 11, 2021

Yacine Aït-Sahalia (Princeton University, Department of Economics and Bendheim Center for Finance) gave the Tinbergen Institute Econometrics Lectures 2021.

Yacine Aït-Sahalia, is the Otto A. Hack Professor of Finance and Economics at Princeton University and the Founding Director of the Bendheim Center for Finance at Princeton. Professor Ait-Sahalia’s research has concentrated on the estimation of continuous-time models in financial economics.

Topic: Machine Learning in Finance
The lectures will describe the main methodologies employed in machine learning and go over some applications of these methods in finance, including credit scoring, factor models, sentiment analysis and trading, and others. The last lecture will describe in more detail a study of high frequency asset price predictability using machine learning methods.