Lecture Notes

Lecture 1: Introduction to Machine Learning

Lecture Slides 1

Lecture 2: Python Review

Lecture 3: The Case for Financial Machine Learning

Lecture Slides 3

Lecture 4: The Virtues of Complex Models

Lecture Slides 4

Lecture 5: Return Prediction Part I, covers penalized linear models, dimension reduction, tree models, ensemble learning

Lecture Slides 5

Lecture 6: Return Prediciton Part II, covers neural network, large language models

Class Requirements

Reference Paper
Kelly, B., & Xiu, D. (2023). Financial machine learning. Foundations and Trends® in Finance, 13(3-4), 205-363. link

Project & Presentation (50%)
Students are required to form study groups, each consisting of 2 to 3 members, and collaboratively work on a project on Kaggle. At the end of this semester, each group needs to present their findings and project outcomes.

Final Report (50%)
Each study group needs to submit a report detailing the application of machine learning models to their Kaggle project. Additionally, please clearly state in your report each team member’s contribution to this project. (under 20 pages, Times New Roman, 12pt, 1.5 line space)

Final Report DUE DATE: 2024-06-21 11:59 pm
Please submit your report here: TBA