In this course, the instructor will discuss various uses of regression in investment problems, and she will extend the discussion to logistic, Lasso, and Ridge regressions. At the same time, the instructor will introduce various concepts of machine learning. You can consider this course as the first step toward using machine learning methodologies in solving investment problems. The course will cover investment analysis topics, but at the same time, make you practice it using R programming. This course's focus is to train you to use various regression methodologies for investment management that you might need to do in your job every day and make you ready for more advanced topics in machine learning.
Using R for Regression and Machine Learning in Investment
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Intermediate level
Recommended experience
17 hours to complete
3 weeks at 5 hours a week
Flexible schedule
Learn at your own pace
What you'll learn
Understanding the basic common concept of machine learning
Familiarizing with most commonly used methodology, regression
Distinguishing in-sample and out-of-sample results and leading to well-performing models in a real-life
Skills you'll gain
Details to know
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Assessments
1 assignment
Taught in English
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There are 2 modules in this course
Understand the characteristics of predictive models and various data in investment The instructor will give you the big picture of the algorithm-driven investment decision-making process. After you understand that, we will review the regression concept and connect it with the core concepts of machine learning methodologies.
What's included
5 videos9 readings
Use regression methodology for various investment analysis purpose and improve models by using ridge, lasso, and logistic regression. First of all, you will learn how you can gauge investment strategy using backtesting. You learned the first component of investment strategy, returns, in the first week. You will expand your study to assessing investment risks. To understand stocks' risks, you will calculate covariance and correlation matrix using historical time-series stock return data. You will extend this to market factor and three-factor models to understand the risk you are facing with your investment. Finally, you will calculate factor exposure using a 3-factor model from week 2 and separate common factor risk and idiosyncratic risk of the stock.
What's included
5 videos10 readings1 assignment
Instructor
Instructor ratings
4.6 (5 ratings)
Offered by
Recommended if you're interested in Finance
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Rice University
EDHEC Business School
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