FIN42100 Machine Learning for Finance

Academic Year 2022/2023

This module provides a postgraduate level account of the field of machine learning, with a specific focus on applications in banking and finance.

The most important modelling and prediction techniques will be studied and implemented: linear regression (logistic regression and linear discriminant analysis, regression splines and smoothing splines), classification, resampling methods (cross validation and bootstrap), shrinkage approaches (ridge regression, Lasso and principal components), tree based methods (bagging, random forests and boosting), support vector machines (hyper planes, support vector classifiers and non-linear decision boundaries) and neural networks (fitting and training, deep learning).

The module will show students how to make sense of the vast and complex data sets that have emerged in the field of banking and finance.

The module will include reference to principally important areas of application of statistical learning in the field: algorithmic trading, corporate events (e.g. mergers and acquisitions, listing and dividend events), credit risk (e.g. default or credit risk migration), fraud (anti money laundering, credit card delinquency), and process automation.

The preferred software environments for the implementation of statistical computing and graphics in this module are R and Python.

With the explosion of “Big Data” problems in the finance of banking, the methodologies and applications introduced in this module are in high demand in industry.

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Curricular information is subject to change

Learning Outcomes:

1. Have a comprehensive appreciation of the key statistical issues involved in predictive analytics in banking and finance.
2. Understand fundamental ideas which underpin the methodologies introduced.
3. Have an appreciation of the role of economic policy and regulation in the predictive analytics in banking field.
4. Be able to explain in detail and model in practice classification related problems in banking.

Student Effort Type Hours
Lectures

0

Total

0

Requirements, Exclusions and Recommendations

Not applicable to this module.


Module Requisites and Incompatibles
Not applicable to this module.
 
Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Group Project: Group project with presentation Week 12 n/a Standard conversion grade scale 40% No

30

Class Test: Individual written examination Week 8 n/a Standard conversion grade scale 40% No

60

Continuous Assessment: In class participation; written feedback on podcasts and feature articles Throughout the Trimester n/a Standard conversion grade scale 40% No

10


Carry forward of passed components
Not yet recorded
 

Not yet recorded

Not yet recorded
Name Role
Mr Shivam Agarwal Tutor
Parvati Neelakantan Tutor
Spring
     
Lecture Offering 1 Week(s) - 20, 21, 23, 24, 25, 26, 29, 30, 32, 33 Mon 09:00 - 10:50
Tutorial Offering 1 Week(s) - 23, 24, 25, 26, 29, 30, 31, 32, 33 Wed 14:00 - 14:50
Spring
     

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