Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFDS
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR logos x
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Financial Data Science
  • IPR logos x
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Financial Data Science

The Journal of Financial Data Science

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFDS
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Confronting Machine Learning with Financial Research

Kristof Lommers, Ouns El Harzli and Jack Kim
The Journal of Financial Data Science Summer 2021, jfds.2021.1.068; DOI: https://doi.org/10.3905/jfds.2021.1.068
Kristof Lommers
is a finance PhD student at the University of Oxford Saïd Business School and an associate at the Oxford-Man Institute of Quantitative Finance in Oxford, UK
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Ouns El Harzli
is a data scientist at the Boston Consulting Group in Stockholm, Sweden, and an incoming computer science PhD student at the University of Oxford in Oxford, UK
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Jack Kim
is the CRO of Data Capital Management in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This article aims to examine the challenges and applications of machine learning for financial research. Machine learning algorithms have been developed for certain data environments that substantially differ from the one we encounter in finance. Not only do difficulties arise owing to some of the idiosyncrasies of financial markets, there is also a fundamental tension between the underlying paradigm of machine learning and the research philosophy in financial economics. Given the peculiar features of financial markets and the empirical framework within social science, various adjustments must be made to the conventional machine learning methodology. The authors discuss some of the main challenges of machine learning in finance and examine how these could be accounted for. Despite the challenges, the authors argue that machine learning could be unified with financial research to become a robust complement to the econometrician’s toolbox. Moreover, the authors discuss the various applications of machine learning in the research process, such as estimation, empirical discovery, testing, causal inference, and prediction.

TOPICS: Big data/machine learning, financial crises and financial market history, portfolio theory

Key Findings

  • ▪ The authors compare machine learning to conventional quantitative research methodologies in finance.

  • ▪ The authors discuss the idiosyncrasies of finance and the challenges that financial markets pose to machine learning methodologies.

  • ▪ The authors examine the opportunities (and applications) that machine learning offers for financial research.

  • © 2021 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Financial Data Science: 4 (3)
The Journal of Financial Data Science
Vol. 4, Issue 3
Summer 2022
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Financial Data Science.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Confronting Machine Learning with Financial Research
(Your Name) has sent you a message from The Journal of Financial Data Science
(Your Name) thought you would like to see the The Journal of Financial Data Science web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Confronting Machine Learning with Financial Research
Kristof Lommers, Ouns El Harzli, Jack Kim
The Journal of Financial Data Science Jun 2021, jfds.2021.1.068; DOI: 10.3905/jfds.2021.1.068

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Confronting Machine Learning with Financial Research
Kristof Lommers, Ouns El Harzli, Jack Kim
The Journal of Financial Data Science Jun 2021, jfds.2021.1.068; DOI: 10.3905/jfds.2021.1.068
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • CONFRONTING MACHINE LEARNING WITH THE FINANCIAL RESEARCH PARADIGM
    • ADDRESSING THE CHALLENGES OF MACHINE LEARNING IN FINANCE
    • APPLICATIONS OF MACHINE LEARNING IN FINANCIAL RESEARCH
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
0207 139 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
646 931 9045
pm-research@pageantmedia.com

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 2640-3943 | E-ISSN: 2640-3951

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies