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Machine Learning for Finance

Machine Learning for Finance

By : James Le , Jannes Klaas
4.1 (59)
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Machine Learning for Finance

Machine Learning for Finance

4.1 (59)
By: James Le , Jannes Klaas

Overview of this book

Machine Learning for Finance explores new advances in machine learning and shows how they can be applied across the financial sector, including insurance, transactions, and lending. This book explains the concepts and algorithms behind the main machine learning techniques and provides example Python code for implementing the models yourself. The book is based on Jannes Klaas’ experience of running machine learning training courses for financial professionals. Rather than providing ready-made financial algorithms, the book focuses on advanced machine learning concepts and ideas that can be applied in a wide variety of ways. The book systematically explains how machine learning works on structured data, text, images, and time series. You'll cover generative adversarial learning, reinforcement learning, debugging, and launching machine learning products. Later chapters will discuss how to fight bias in machine learning. The book ends with an exploration of Bayesian inference and probabilistic programming.
Table of Contents (15 chapters)
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Machine Learning for Finance
Contributors
Preface
Other Books You May Enjoy
Index

Training to be fair


There are multiple ways to train models to be fairer. A simple approach could be using the different fairness measures that we have listed in the previous section as an additional loss. However, in practice, this approach has turned out to have several issues, such as having poor performance on the actual classification task.

An alternative approach is to use an adversarial network. Back in 2016, Louppe, Kagan, and Cranmer published the paper Learning to Pivot with Adversarial Networks, available at https://arxiv.org/abs/1611.01046. This paper showed how to use an adversarial network to train a classifier to ignore a nuisance parameter, such as a sensitive feature.

In this example, we will train a classifier to predict whether an adult makes over $50,000 in annual income. The challenge here is to make our classifier unbiased from the influences of race and gender, with it only focusing on features that we can discriminate on, including their occupation and the gains they...

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