Trends and Applications of Machine Learning in Quantitative Finance

8th International Conference on Economics and Finance Research (ICEFR 2019)

9 Pages Posted: 13 Jun 2019

See all articles by Sophie Emerson

Sophie Emerson

University College Cork - Cork University Business School

Ruairí Kennedy

University College Cork - Cork University Business School

Luke O'Shea

University College Cork - Cork University Business School

John O'Brien

University College Cork - Department of Accounting, Finance and Information Systems; University College Cork - Cork University Business School

Date Written: May 30, 2019

Abstract

Recent advances in machine learning are finding commercial applications across many industries, not least the finance industry. This paper focuses on applications in one of the core functions of finance, the investment process. This includes return forecasting, risk modelling and portfolio construction. The study evaluates the current state of the art through an extensive review of recent literature. Themes and technologies are identified and classified, and the key use cases highlighted. Quantitative investing, traditionally a leading field in adopting new techniques is found to be the most common source of use cases in the emerging literature.

Keywords: Machine Learning, Quantitative Finance, Portfolio Construction, Return Forecasting

JEL Classification: C00, C1, C3, C5, C6, C8, 03, G1

Suggested Citation

Emerson, Sophie and Kennedy, Ruairí and O'Shea, Luke and O'Brien, John, Trends and Applications of Machine Learning in Quantitative Finance (May 30, 2019). 8th International Conference on Economics and Finance Research (ICEFR 2019). Available at SSRN: https://ssrn.com/abstract=3397005

Sophie Emerson

University College Cork - Cork University Business School ( email )

West Wing, Main Quadrangle, College Road
Cork
Ireland

Ruairí Kennedy (Contact Author)

University College Cork - Cork University Business School ( email )

West Wing, Main Quadrangle, College Road
Cork
Ireland

Luke O'Shea

University College Cork - Cork University Business School ( email )

West Wing, Main Quadrangle, College Road
Cork
Ireland

John O'Brien

University College Cork - Department of Accounting, Finance and Information Systems ( email )

O'Rahilly Building
College Road
Cork
Ireland

University College Cork - Cork University Business School ( email )

West Wing, Main Quadrangle, College Road
Cork
Ireland

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