What you'll learn:
- Forecasting stock prices and stock returns
- Time series analysis
- Holt-Winters exponential smoothing model
- ARIMA
- Efficient Market Hypothesis
- Random Walk Hypothesis
- Exploratory data analysis
- Alpha and Beta
- Distributions and correlations of stock returns
- Modern portfolio theory
- Mean-Variance Optimization
- Efficient frontier, Sharpe ratio, Tangency portfolio
- CAPM (Capital Asset Pricing Model)
- Q-Learning for Algorithmic Trading
Have you ever thought about what would happen if you combined the power of machine learning and artificial intelligence with financial engineering?
Today, you can stop imagining, and start doing.
This course will teach you the core fundamentals of financial engineering, with a machine learning twist.
We will cover must-know topics in financial engineering, such as:
Exploratory data analysis, significance testing, correlations, alpha and beta
Time series analysis, simple moving average, exponentially-weighted moving average
Holt-Winters exponential smoothing model
ARIMA and SARIMA
Efficient Market Hypothesis
Random Walk Hypothesis
Time series forecasting ("stock price prediction")
Modern portfolio theory
Efficient frontier / Markowitz bullet
Mean-variance optimization
Maximizing the Sharpe ratio
Convex optimization with Linear Programming and Quadratic Programming
Capital Asset Pricing Model (CAPM)
Algorithmic trading (VIPonly)
Statistical Factor Models (VIP only)
Regime Detection with Hidden Markov Models (VIP only)
In addition, we will look at various non-traditional techniques which stem purely from the field of machine learning and artificial intelligence, such as:
Regression models
Classification models
Unsupervised learning
Reinforcement learning and Q-learning
***VIP-only sections (get it while it lasts!) ***
Algorithmic trading (trend-following, machine learning, and Q-learning-based strategies)
Statistical factor models
Regime detection and modeling volatility clustering with HMMs
We will learn about the greatest flub made in the past decade by marketers posing as "machine learning experts" who promise to teach unsuspecting students how to "predict stock prices with LSTMs". You will learn exactly why their methodology is fundamentally flawed and why their results are complete nonsense. It is a lesson in how not to apply AI in finance.
As the author of ~30 courses in machine learning, deep learning, data science, and artificial intelligence, I couldn't help but wander into the vast and complex world of financial engineering.
This course is for anyone who loves finance or artificial intelligence, and especially if you love both!
Whether you are a student, a professional, or someone who wants to advance their career - this course is for you.
Thanks for reading, I will see you in class!
Suggested Prerequisites:
Matrix arithmetic
Probability
Decent Python coding skills
Numpy, Matplotlib, Scipy, and Pandas (Iteach this for free, no excuses!)
WHATORDERSHOULDITAKEYOURCOURSESIN?:
Check out the lecture "Machine Learning and AIPrerequisite Roadmap" (available in the FAQ of any of my courses, including the free Numpy course)
UNIQUEFEATURES
Every line of code explained in detail - email me any time if you disagree
No wasted time "typing" on the keyboard like other courses - let's be honest, nobody can really write code worth learning about in just 20 minutes from scratch
Not afraid of university-level math - get important details about algorithms that other courses leave out
