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University College London

An Introduction to Machine Learning in Quantitative Finance

University College London via FutureLearn

Overview

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Explore the applications of machine learning for quantitative finance

Over the past few years, machine learning (ML) has gradually permeated the financial sector, reshaping the landscape of quantitative finance as we know it.

This four-week course from University College London will demystify machine learning by uncovering its underlying mathematics and showing how to apply ML methods to real-world financial data.

Learn to use supervised learning models such as linear regression

Supervised learning is a category of machine learning that uses algorithms to classify data and create predictions.

You’ll be provided with an overview of supervised learning, as well as linear and non-linear regression with regularisation and classification. This will enable you to learn other new supervised learning algorithms in a systematic manner.

Understand how to use deep learning for predictive analytics in finance

Huge datasets are incredibly common in the financial sector, and present a significant challenge to researchers and analysts.

On this course, you’ll familiarise yourself with neural networks and understand how deep learning can be used to analyse large datasets and create accurate financial predictions. At the end of the course, you’ll put your learning into practice by tackling an empirical financial data problem using machine learning end-to-end.

Study with the experts at University College London

Your course educators are faculty members of the financial mathematics group at the UCL and Shanghai University.

With the help of their extensive research and experience, you’ll be empowered to solve real-world financial challenges through the application of modern machine learning methods.

This course is designed for anyone interested in machine learning and quantitative finance with a basic background in probability and Python programming.

It will be of particular interest to final-year undergraduate students or MSc students in financial mathematics or related subjects, pursuing a career in quantitative finance or data science.

It will also be suited to practitioners in quantitative finance.

Python

Syllabus

  • Introduction to the course
    • Welcome to the course
    • What is Machine Learning?
    • Quantitative Finance
    • Next generation of talents in Quantitative Finance
    • End of Week 1
  • Supervised Learning in financial applications
    • Welcome to Week 2
    • Linear Regression
    • Regularization
    • Classification
    • End of Week 2
  • Learning derivative pricing via Deep Neural Networks
    • Introduction to Week 3
    • Deep Neural Networks (DNNs)
    • Training DNNs
    • Applications of DNNs to derivative pricing
    • End of Week 3
  • Limit order book prediction via Recurrent Neural Networks
    • Introduction to Week 4
    • Recurrent Neural Networks
    • Limit order book prediction
    • End and next step

Taught by

Hao Ni

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