Financial Machine Learning
- Value Walk March 15th, 2018
- Source: https://www.valuewalk.com/2018/03/advances-in-financial-machine-learning-chapter-1/
Reviewed by Peter Carr, Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering.
… The recent highly impressive advances in machine learning (ML) are fraught with both promise and peril when applied to modern finance. While finance offers up the non-linearities and large data sets upon which ML thrives, it also offers up noisy data and the human element which presently lie beyond the scope of standard ML techniques. … Against this background, Dr. Lopez de Prado has written the first comprehensive book describing the application of modern ML to financial modeling.