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Summit Day and Workshop (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Summit Day and Workshop (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Fundamentals of Machine Learning in Finance Workshop
08:00 - 08:50
Registration, Coffee, and Networking
08:50 - 09:00
Workshop leader’s opening remarks
Arora 14
- John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto
09:00 - 10:45
Introduction and Unsupervised Learning
- Machine learning vs statistics
- Different learning approaches and their applications
- The use of training, validation, and test data sets
- The variance-bias trade-off
- The k-means algorithm and case study
- Other unsupervised learning tools
- John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto
10:45 - 11:15
Morning coffee & networking break
11:15 - 13:00
Supervised Learning
- Linear and logistic regression
- Ridge, lasso, elastic net. Case studies
- Support vector machines
- Decision trees and random forests
- Bagging and boosting; ensemble models
- Neural networks and the gradient descent algorithm
- John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto
13:00 - 14:00
Lunch and Networking Break
14:00 - 15:20
Reinforcement Learning
- Exploration vs exploitation
- Monte Carlo method
- Examples
- Temporal difference learning
- Deep Q-learning
- Applications
- John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto
15:20 - 15:50
Afternoon tea & Networking Break
15:50 - 17:50
NLP and Explainability
- Bag of words models
- Sentiment analysis
- Other applications of NLP, ChatGPT
- Importance of explainability
- Shapley values
- LIME
- John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto
17:50 - 18:00
Workshop leader's closing remarks
- John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto
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