Making Sense of Machine Learning (Webinar)
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Making Sense of Machine Learning (Webinar)

CAIA Association and State Street Advisors Presents; Making Sense of Machine Learning

 Export to Your Calendar 8/19/2020
When: Wednesday, August 19, 2020
10:00 a.m. - 11:00 a.m.
Where: Live Webinar
United States
Contact:

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Making Sense of Machine Learning

Presented by: CAIA Association and State Street Advisors


Machine learning (ML) enables powerful algorithms to analyze financial data in new and exciting ways. But this excitement is often tempered by fear that investors don’t really understand why a model behaves the way it does. We need to move beyond this “black box” stigma. We propose a framework that demystifies the predictions from any ML algorithm. Our approach computes what we call a “fingerprint” for a given model’s linear, nonlinear, and interaction effects that drive its predictions — and ultimately its investment performance. In a real-world case study applied to currency return predictions, we find that popular ML models like neural network and random forest think in ways that do indeed make sense, and which we can begin to understand. These fingerprints empower investors to describe and probe the similarities and differences across ML models, and to extract genuine insight from machine-learned rules.

This event is offered in partnership with CAIA Association and State Street Advisors.

Speakers

  • Keith Black, Ph.D., CAIA, CFA, FDP, Managing Director, Content Strategy, CAIA
  • David Turkington, Sr. Managing Partner, Head of Portfolio and Risk Management, State Street Associates
  • Yimou (Andrew) Li, Quantitative Research Analyst, State Street Associates

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This event qualifies for 1.0 hours of continuing education credit for CFA charterholders.

 

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