Real-world Applications of Machine Learning in Investment – Traps and Pitfalls

CPT/CE Eligibility (A Recognized CPT Provider)

(CODE: 240619LU-CEX)

Recent machine learning techniques such as deep learning and reinforcement learning were built on specific assumptions of the underlying data generation process.  Financial time series frequently do not satisfy these assumptions.  In this talk, we discuss the possible problems if these techniques are applied blindly.  The solutions to these problems are in general problem specific.  However, some of the pain can be alleviated by combining recent machine learning techniques with more classical statistical and econometrics insights.  We will discuss these probable solutions with examples.

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Intermediate – Materials presented will have technical elements requiring a working knowledge of the subject to make full use of the presentation.

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Sandwiches and drinks will be served at the event.

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About the Speaker

Chak Wong

Chak Wong is currently the global lead of time series and reinforcement learning group of the Machine Learning Centre of Excellence of JP Morgan.  He is a professor of science practice in the Mathematics department of HKUST.  He held various industry and academic positions previously in various institutions, including head of Financial Institutions and Sovereigns Asia in Société Generale, Head of quantitative investment in Ping An Asset Management, Head of IBD Structuring Asia in Barclays, Head of non-vanilla trading of UBS, Executive Director in exotic derivative trading Goldman Sachs, Quantitative Analyst in credit derivatives and emerging market group in Morgan Stanley.  He was a professor of Fintech in the system engineering department of CUHK and a professor of finance practice in the finance department in the Business School of CUHK.

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CFA Societies Global Passport Program

CFA Society Hong Kong has participated in the CFA Societies Global Passport Program which allows CFA society members to enjoy local society member rate at selected events like this luncheon.  Members of non-CFA Society Hong Kong CFA Institute societies qualify to attend this event at CFA Society Hong Kong member rates.  Please contact CFA Society Hong Kong at events@cfahk.org to register.

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Remarks:

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• CFA Societies Global Passport Program Eligible.
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