Cross-sectional的部分是弱化版的PhD高计(没有到高计的程度),从OLS和一些基础数理统计开始讲,一直到2SLS然后带了一点Panel/Machine Learning,每一个区域都有探索但不深,个人觉得推导上有一些基础理论跳过了,可能反而会增加理解难度。 Time-series感觉更多靠记忆,从如何检验Return Predictability到CAPM+Multifactors,然后...
JHU CS项目主要是针对本科和硕士项目进行招生，PhD项目招生较少，一共有700+同学左右。
PhD class at the University of Texas at Austin, Spring 2022The structure of this class is simple. First, we will read Machine Learning in Asset Pricing (MLAP). During the first half of each class, students will present and lead a discussion of the required MLAP reading. During the second...
统计master/phd还是m ... 纯元 fund你说的那些专业都招,甚至CS的也招。关键要往那个方向准备面试。读graduate degree,以学生的身份跳槽可能更容易拿面试一些。mfe其他几个专业比,会学习更多金融相关的东西,周围的人、环境,和资源也都跟量化求职比较相关,可能会让你更容易找到大部队。 回复 纯元 ...
每年仅录取 4-5 个学生,和 finance PhD 一起上课。课程设置为 5 门 finance PhD core course + any elective course (常见的选课是经济系,会计系 phd level course,数学系 real analysis, stochastic process, CS 系 machine learning 等等)。如果没有上过三高,一般第一学期项目主任会建议大家去隔壁经济系和 ...
Machine Learning in Computational Finance - Boyarshinov (PhD Thesis) 热度: Comparison of individual, ensemble and integrated ensemble machine learning methods to predict China's SME credit risk in supply chain finance 热度: WEKA Machine Learning Algorithms in Java ...
于是开始有一些方法,试图利用股票数据既有的性质,来设计在线学习(online learning)的算法。典型的是之前NTU计算机系的PhD, Bin Li在ICML,IJCAI的一系列论文。他的核心其实就是抓住了股票的均值回归(mean reversion)的性质。简单的理解,均值回归认为股票有它自己的隐含价值,股价在这个值附近波动。他的这一系列论文,...
ROHIT ALLENA I am an Assistant Professor of Finance atC.T. Bauer College of Business, University of Houston. My research interests are in Asset Pricing and Market Microstructure, with an emphasis on understanding the econometrics behind Machine Learning-based inferences and Bayesian-based inferences in...
5. Explaining machine learning A Unified Approach to Interpreting Model Predictions(2017), S. M. Lundberg and S.-I. Lee[pdf] Focus: It presents a unified framework for interpreting predictions, SHAP (SHapley Additive exPlanations). SHAP assigns each feature an importance value for a particular ...
已经看得我眼红了！！！选修课里居然有那么多 cutting edge 的课程， Machine Learning， Algo Trading ...