• $50

Survey Course: Machine Learning in Investment Management

  • Course
  • 67 Lessons

In this course, we will introduce you to machine learning in investment management through four targeted case studies. Each case is designed to help you improve one step in the investment management pathway. This is all about giving you practical skills and showing you how experts do this in the real world!

You can watch the first lecture for free! (See the video above).

What You Will Learn

  • Master Hierarchical Clustering: Identify hidden relationships between asset classes using advanced clustering algorithms, giving you a new edge in asset class due diligence and investment strategy development.

  • Decode Model Behavior with Shapley Values: Gain deep insights into the driving forces behind your models and discover how to better interpret and trust your results by using Shapley values for clearer explanations.

  • Enhance Factor Models with Lasso Regression: Improve your understanding of investment behavior by applying Lasso regression to sharpen factor models, helping you make more informed, data-driven investment decisions.

  • Optimize Tactical Asset Allocation with Deep Learning: Learn how to leverage cutting-edge deep learning techniques to anticipate market shifts and make smarter allocation decisions between bonds and equities.

Contents

Course Introduction

In this section, we will introduce you to the course outline and what you will learn. We will also introduce you to our teaching method which includes quizzes, and teaching you how to think critically about what you will be learning.

READ THIS BEFORE YOU START THE COURSE
00 - Introduction
Important! A Brief Note on Retrieving Returns

Case Study 1: Hierarchical Clustering for Asset Class Analysis

In this case study, we show you how clustering analysis can help you understand how asset classes behave and if various asset classes behave in similar ways according to various risk and return metrics.

Case Study 1: Slides
Case Study 1: Python Notebook
01 - Theory, Part 1
02 - Theory, Part 2
03 - Imports
04 - Initialization
05 - Feature Engineering, Part 1
06 - Feature Engineering, Part 2
07 - Generating the Feature Matrix
08 - Hierarchical Clustering
09 - Summary
Case Study 1 Quiz
Case Study 1: Deep Thinking Questions

Case Study 2: Understanding Shapley Values

In this case study, we will show you how powerful Shapley values can be for identifying feature importance in machine learning models. We will apply these values to our results from the first case study.

Please make sure to download the needed files provided in this section.

Case Study 2: Shapley Values - Slides
Case Study 2: Python Notebook
feature_matrix_scaled_final.csv
mergings.pkl
10 - Theory
11 - Imports
12 - Assigning Clusters
13 - LightGBM
14 - Shapley Values, Part 1
15 - Shapley Values, Part 2
16 - Visualization
17 - Summary
Case Study 2: Quiz
Case Study 2: Detailed Answer for Question 10 of Multiple Choice.pdf
Case Study 2: Deep Thinking Questions

Case Study 3: Improving Factor Models with Lasso Regression

In this case study, we demonstrate how you can create improved returns-based factor models by using an advanced regression technique called LASSO.

Case Study 3: Lasso Regression - Python Notebook
Case Study 3: Lasso Regression - Slides
18 - Theory, Part 1
19 - Theory, Part 2
20 - Imports
21 - Retreiving Fund Returns
22 - Retreiving Factor Returns
23 - Variance Inflation Factor and OLS
24 - OLS Evaluation Metrics
25 - LASSO Regression
26 - LASSO Evaluation Metrics
27 - AIC and BIC
28 - Visualizing the Differences
29 - Retreiving the Differences
30 - Summary
Case Study 3 Quiz
Case Study 3: Deep Thinking Questions

Case Study 4: Tactical Asset Allocation with Deep Learning

In our fourth case study, we will demonstrate how you can assess the probability of SPY going up or down the next day using deep learning. This is a great example of how we can alter our asset allocation based on signals derived from machine learning.

Case Study 4: Slides
Case Study 4: Python Notebook
31 - Theory, Part 1
32 - Theory, Part 2
33 - Imports
34 - Feature Engineering
35 - Creating the Target
36 - Creating the Model, Part 1
37 - Creating the Model, Part 2
38 - Running the Model
Case Study 4 Quiz
Case Study 4: Deep Thinking Questions

Course Summary

This short video ties everything together and shows how the case studies affect the portfolio matrix and investment management workflow.

39 - Course Summary
Course Project

Files

This section contains the files needed for this course. Please make sure to watch the tutorial video on how to use the main_functions.py file and how to import them.

DHI0008_functions.py
DHI0008_functions_no_openbb.py
requirements.txt

Assignment - Hierarchical Clustering of Fixed Income Funds

In this project, you will reinforce what you learned in case study 1 of our Introduction to Machine Learning in Portfolio Construction course.
You will classify various fixed income funds based on different risk and return features.

Fixed Income Fund Clustering - Project Notebook
Fixed Income Fund Clustering - Project Solutions

  • $50

Survey Course: Machine Learning in Investment Management

  • Course
  • 67 Lessons

In this course, we will introduce you to machine learning in investment management through four targeted case studies. Each case is designed to help you improve one step in the investment management pathway. This is all about giving you practical skills and showing you how experts do this in the real world!