joelowj / Machine-Learning-and-Reinforcement-Learning-in-Finance

Machine Learning and Reinforcement Learning in Finance New York University Tandon School of Engineering

Machine-Learning-and-Reinforcement-Learning-in-Finance

Guided Tour of Machine Learning in Finance

1. Euclidean Distance Calculation
2. Linear Regression
3. Tobit Regression
4. Bank defaults prediction using FDIC dataset

Fundamentals of Machine Learning in Finance

1. Random Forests And Decision Trees
2. Eigen Portfolio construction via PCA
3. Data Visualization with t-SNE
4. Absorption Ratio via PCA

Reinforcement Learning in Finance

1. Discrete-time Black Scholes model
2. QLBS Model Implementation
3. Fitted Q-Iteration
4. IRL Market Model Calibration

Overview of Advanced Methods of Reinforcement Learning in Finance