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GTC ON-DEMAND

Deep Learning & AI Frameworks
Presentation
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Predictive Learning of Factor Based Strategies Using Deep Neural Networks for Investment and Risk Management
Abstract:
We develop and implement an approach using deep neural networks to process financial and macroeconomic signals to help identify key inflection points in equity market-based factor performance such as momentum and volatility. The model may be used to calibrate factor rotation strategies and better assess portfolio risks associated with factor-based exposures. The machine learning algorithm relies on the GPU for high-performance computations to drive an optimization framework within a deep neural network.
 
Topics:
Deep Learning & AI Frameworks, Finance
Type:
Talk
Event:
GTC Silicon Valley
Year:
2018
Session ID:
S8520
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