Financial Machine Learning

Bryan T. Kelly and Dacheng Xiu

No 31502, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping machine learning tools, as well as for statisticians and machine learners seeking interesting financial contexts where advanced methods may be deployed.

JEL-codes: C33 C4 C45 C55 C58 G1 G10 G11 G12 G17 (search for similar items in EconPapers)
Date: 2023-07
New Economics Papers: this item is included in nep-big, nep-cmp and nep-fmk
Note: AP
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published as Bryan Kelly & Dacheng Xiu, 2023. "Financial Machine Learning," Foundations and Trends® in Finance, vol 13(3-4), pages 205-363.

Downloads: (external link)
http://www.nber.org/papers/w31502.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:31502

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w31502

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().