Big data in finance

Enseignants

Ghysels Eric; Lassance Nathan (supplée Ghysels Eric);

Langue
d'enseignement

Anglais

Thèmes abordés

The course will cover important developments in the fields of statistical learning, machine learning and big data. These interrelated fields provide statistical models to learn structure from high-dimensional data and make accurate predictions.
The course is divided in four sections:

1. Robust linear regression
2. Principal and independent component analysis
3. Bayesian estimation
4. Ensemble learning

For each section, we will see state-of-the-art applications in portfolio selection (investment strategies), based on recent scientific papers. The students will see why portfolio theory, covered in the Q1 course LLSMS2013 “Investments”, leads to disappointing investment performance in practice when it is naively applied, and how the methods seen in the course help to make portfolio theory work in practice.

Acquis
d'apprentissage

A la fin de cette unité d’enseignement, l’étudiant est capable de :
1	By the end of the course, the student will have mainly developed the following elements of the « référenciel de compétence » of the Louvain School of Management. From the lectures: 2. Maîtriser des savoirs, 3. Appliquer une démarche scientifique. From the group assignment : 6. Travailler en équipe et en exercer le leadership, 7. Gérer un projet, 8. Communiquer.

Contenu

This course covers theoretical and practical concepts related to:

1. Robust linear regression:

Reminder on linear regression, bias-variance tradeoff, subset selection and cross-validation, shrinkage methods, the case of big data, refresher on portfolio theory, two portfolio-selection papers as application

1. Principal and independent component analysis:

PCA, choosing the number of factors, sparse PCA, Stein’s estimator, ICA, FastICA algorithm, three portfolio-selection papers as application

1. Bayesian estimation:

Bayesian versus maximum-likelihood estimation, conjugate priors, bayesian interpretation of robust linear regression and portfolio selection, one portfolio-selection paper as application

1. Ensemble learning:

Single estimate versus combination of estimates, bayesian and shrinkage methods, parallel with robust portfolio selection, one portfolio-selection paper as application

Méthodes d'enseignement

En raison de la crise du COVID-19, les informations de cette rubrique sont particulièrement susceptibles d’être modifiées.

Lectures + group assignment

Modes d'évaluation
des acquis des étudiants

En raison de la crise du COVID-19, les informations de cette rubrique sont particulièrement susceptibles d’être modifiées.

Final exam + group assignment

Faculté ou entité
en charge

CLSM