AustinTI/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. Sequence Modeling and Reinforcement Learning

Reinforcement Learning in Finance

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

Reference Paper

1. QLBS Q-Learner in the Black-Scholes(-Merton) Worlds
2. Algorithm Trading using Q-Learning and Recurrent Reinforcement Learning
3. Algorithmic Trading with Fitted Q Iteration and Heston Model
4. Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers