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NUS Quantitative Finance Joint Seminar Series (Webinar)
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Date: 27 August 2021, Friday Time: 9:00pm to 10:00pm (Singapore Time Zone, GMT +8)
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Title: Projects in Financial Machine Learning Prof. Bryan Kelly (Yale School of Management) Abstract: The presentation gives an overview of financial machine learning models and applications including ML factor models, textual analysis, and image analysis based on the papers: "Characteristics are Covariances," "Instrumented Principal Components Analysis," "Autoencoder Asset Pricing Models," "The Structure of Economic News," "Predicting Returns With Text Data," "Principal Portfolios," and "Re-imagining Price Trends."
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Bryan Kelly is Professor of Finance at the Yale School of Management, a Research Fellow at the National Bureau of Economic Research, Associate Director of SOM’s International Center for Finance, and is the head of machine learning at AQR Capital Management. Professor Kelly’s primary research fields are asset pricing and financial econometrics. He is interested in issues related to financial machine learning; volatility, tail risk, and correlation modeling in financial markets; banking sector systemic risk; financial intermediation; and financial networks. He has served as co-editor of the Journal of Financial Econometrics and associate editor of Journal of Finance and Journal of Financial Economics. Before joining Yale, Kelly was a tenured professor of finance at the University of Chicago Booth School of Business. He earned a bachelor’s degree in economics from University of Chicago, a master’s degree in economics from University of California San Diego, and a PhD in finance from New York University’s Stern School of Business. Kelly worked in investment banking at Morgan Stanley prior to his PhD.
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For more information on all our workshops & seminars, please visit Risk Management Institute website. For enquiries, please contact Sinta at sintayo@nus.edu.sg.
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