Machine Learning in Finance: A Topic Modeling Approach

44 Pages Posted: 7 Feb 2019

See all articles by Saqib Aziz

Saqib Aziz

ESC Rennes School of Business

Michael M. Dowling

ESC Rennes School of Business

Helmi Hammami

Qatar University College of Business

Anke Piepenbrink

Azerbaijan Diplomatic Academy

Date Written: February 1, 2019

Abstract

We provide a first comprehensive structuring of the literature applying machine learning to finance. We use a probabilistic topic modeling approach to make sense of this diverse body of research spanning across the disciplines of finance, economics, computer sciences, and decision sciences. Through the topic modelling approach, a Latent Dirichlet Allocation technique, we are able to extract the 14 coherent research topics that are the focus of the 5,204 academic articles we analyze from the years 1990 to 2018. We first describe and structure these topics, and then further show how the topic focus has evolved over the last two decades. Our study thus provides a structured topography for finance researchers seeking to integrate machine learning research approaches in their exploration of finance phenomena. We also showcase the benefits to finance researchers of the method of probabilistic modeling of topics for deep comprehension of a body of literature, especially when that literature has diverse multi-disciplinary actors.

Keywords: topic modeling, machine learning, structuring finance research, textual analysis, Latent Dirichlet Allocation, multi-disciplinary

JEL Classification: G00, G10, C45

Suggested Citation

Aziz, Saqib and Dowling, Michael M. and Hammami, Helmi and Piepenbrink, Anke, Machine Learning in Finance: A Topic Modeling Approach (February 1, 2019). Available at SSRN: https://ssrn.com/abstract=3327277 or http://dx.doi.org/10.2139/ssrn.3327277

Saqib Aziz

ESC Rennes School of Business ( email )

Rue Robert d'arbrissel, 2
Rennes, 35065
France

Michael M. Dowling (Contact Author)

ESC Rennes School of Business ( email )

Rue Robert d'arbrissel, 2
Rennes, 35000
France

Helmi Hammami

Qatar University College of Business ( email )

College of Law
Qatar University
Doha, 2713
Qatar

Anke Piepenbrink

Azerbaijan Diplomatic Academy ( email )

11 Ahmadbey Aghaoglu Street
Baku, AZ1008
Azerbaijan

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