Financial Machine Learning

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.