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Machine Learning

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Deep Learning


  • Model explainability‚Äč: Variable significance tests for deep nets¬†
  • Addressing incomplete information: Filtered Deep Learning
  • Deep recurrent nets for capturing path dependence in risk predictions
  • Financial time series modeling using deep nets
  • Building equity factor models via deep nets

Reinforcement Learning


  • Design of optimal order execution policies
  • Optimal portfolio selection
  • Identification of risk preferences

Other


  • Optimal portfolios via random forests
  • Inference and robust solution methods for stochastic optimization problems
  • Assessment of the performance of classifiers relative to subjective human judgement