This course aims at providing an introductory and broad overview of the field of Machine Learning (ML) with the focus on applications on Finance.

Detailed Program:

1.Introduction to Financial problems and their classical solutions

2.Introduction to Machine Learning

– Supervised Learning

  – Overview of regression and classification techniques

  – Financial applications: price prediction, modeling bank failures

– Unsupervised Learning

  – Overview of clustering and dimensionality reduction techniques

  – Financial applications: stock returns, estimation of equity correlation matrix

– Reinforcement Learning

  – Overview of value-based and policy-based techniques

  – Financial applications: option pricing, stock trading

Venue: Department of Mathematics, Politecnico di Milano

Time Table:

Introduction to Financial applications (Baviera, Marazzina, Rroji):

June 13: 9:30-12:00, 14:30-17:00 (Prof. Marazzina)

June 17: 9:30-12:00 (Prof. Baviera), 14:30-17:00 (Prof. Rroji)

June 18: 9:30-12:00 (Prof. Baviera), 14:30-17:00 (Prof. Rroji)

Machine Learning (Restelli, Baviera):

June 20, 21, 25, 27, 28: 10:00-13:00 (Prof. Restelli)    

July 1: 15:00-17:00 (Prof. Baviera)

For information: daniele.marazzina@polimi.it