Papers on machine learning in finance

[Johnny]

Thanks everybody. I've had time to read through a lot of the suggested papers. Very helpful.



Just to bump this thread up again, I'm looking for papers that discuss machine learning methods (HMMs, Linear Dynamical Systems, Gaussian Processes, etc) applied to financial markets.

[alipson]

Putting on my Computer Science hat, I haven't seen a huge amount of Machine Learning (ML) applications to finance. It arugably isn't seen as being one of the *hot* topics in CS and ML.



A general problem is that from a Computer Science perspective, people are looking for large datasets to apply ML methods to. With possibly the main areas being images/videos, language and anything biological-related. The data ends up being a means to an end, but when the methods are run on the data, it often is without an understanding of what the data represents, which can lead to results that practically do not mean anything. It's kind of the "I have this great method, what different areas can I apply the data to".



Having said that, I can send off a couple of emails to the academic ML guys I know and see if they have seen any new finance-related applications. I've been out of the academic ML world for two years, so I might be behind on all these things.



On Gaussian Processes, also look at David Mackay's site and besides NIPS, the ICML conference might be a place to search.

ICML06 papers that might be of interest:

http://www.icml2006.org/icml_documents/camera-ready/002_Algorithms_for_Portf.pdf

http://www.icml2006.org/icml_documents/camera-ready/085_Reinforcement_Learni.pdf



As signalseeker said, Michael Kearns has some stuff as well.

[Johnny]

Thanks.

[alipson]

Some other publications that might be interesting:



http://www.cs.rpi.edu/~magdon/

http://www.icsi.berkeley.edu/%7Emoody/#publications

http://www.sfu.ca/~rgencay/jarticles.html

http://iconip2006.cse.cuhk.edu.hk/program/Tutorial-2

http://www.probabilityandfinance.com/articles/index.html





Cheers

[danko]

ttp://www.ingber.com/markets01_optim_trading.pdf

[Johnny]

Thanks

[monkeypicks]

Hi Johnny,



This is my first post here and maybe I can be of some help right away. I have the e-book version of Hidden Markov Models: Applications to Financial Economics By Ramaprasad Bhar, Shigeyuki Hamori which I picked up while working on a Master's project using HMMs in asset allocation a few years back. I am willing to share it with you if think it might contain what you are looking for. I know you mentioned you are not looking for an econometrics book but this does contain some time series and classification topics but I haven't looked at it in a while. At the very least you should be able to get some useful references. The table of contents is in Google Books at:



http://books.google.com/books?hl=en&id=zOPgQSYGrksC&dq=hidden+markov+models+applications+to+financial+economics&printsec=frontcover&source=web&ots=ZpdQ-SNJI1&sig=TSidfWBuy1fHylS3z_Jofx_3ink



This is an amazing forum you have here. What wealth of information and advice! I am glad I stumbled on this. Hope to engage in some good discussion here.



Cheers,

Mpicks

[Johnny]

Hi monkeypicks, that looks interesting. I'll have a closer look this evening. Thanks for the link

[jslade]

"I'm looking for papers about principled probabilistic methods, not neural nets etc. "



Oh yeah, duh.





"Quantile Forecasting for Credit Risk Management using Possibly Mis-specified Hidden Markov Models" Konrad Banachewicz Andre Lucas Tinbergen Institute Discussion Paper 2007



"Interpretation and Inference in Mixture Models: Simple MCMC Works" John Geweke 2006 (haven't read it yet, but it has S&P500 returns in it)



"A Hidden Markov Model of Default Interaction" Martin Crowder, Mark Davis and Giacomo Giampieri





"Input/Output Hidden Markov Models for Modeling Stock Order Flows" Adlar Jeewook Kim



None of them are particularly great, but there they are anyway. Happy reading!

[Johnny]

Excellent - thanks jslade