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MATH 527 - Machine Learning in Finance: From Theory to Practice

Course Description: 

The purpose of this course is to introduce students to the theory and application of supervised and reinforcement learning to big data problems in finance. This course emphasizes the various mathematical frameworks for applying machine learning in quantitative finance, such as quantitative risk modeling with kernel learning and optimal investment with reinforcement learning. Neural networks are used to implement many of these mathematical frameworks in finance using real market data.

Credit: 

(3-0-3)

Prerequisite: 

[(MATH 475 with min. grade of D)]

Corequisite: 

None