Tinbergen Institute Lectures
Machine Learning in Finance
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SeriesEconometrics Lecture Series
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Speaker(s)Yacine Ait-Sahalia (Princeton University, United States)
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FieldEconometrics
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LocationErasmus University Rotterdam
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 FinanceThe 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.