Machine Learning in Finance focuses on the use of machine learning and AI methods and their applications in finance with a particular focus on problems in asset pricing. This course aims to provide students with the knowledge necessary to best use recent machine learning methods but also to understand their limitations. We will cover such topics as penalized estimation and its use in forecasting, clustering, factor models and unsupervised learning, neural networks and non-linear prediction, text data and large language models.
It is expected that students will have some exposure to programming in Python. Students will work with real financial datasets to help gain a better understanding of the methods covered.
