Research Seminar: Boosting Financial Econometrics via Machine Learning
Presenters: Himanshu Thakur (India, Grade 12), Aaditya Punatar (India, Grade 10)
December 12, 2024 at 6 PM IST
Abstract: Financial econometrics has traditionally relied on robust statistical models like GARCH and VAR for market analysis, risk assessment, and economic forecasting. While these models provide foundational insights into market dynamics, they often struggle with the nonlinear complexities of modern financial data. The emergence of machine learning (ML) offers transformative capabilities in financial econometrics, enhancing predictive accuracy by leveraging vast datasets, capturing intricate patterns, and providing timely forecasts. This research aims to bridge existing gaps by integrating traditional econometric approaches with advanced ML algorithms, including Random Forests, Neural Networks, and Long ShortTerm Memory (LSTM) networks. Employing a comprehensive methodology that combines supervised and unsupervised learning, feature engineering guided by economic theory, and dimensionality reduction techniques like PCA and LASSO, we strive to improve market prediction, model interpretability, and robustness. By comparing the predictive performance of ML models against conventional methods, we seek to demonstrate the enhanced capabilities ML brings to financial forecasting and risk assessment, with broader implications for market stability and economic growth.
learn more about this seminar >>