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AI412: Time Series Analysis for Financial Data with Machine Learning
Training: Artificial Intelligence
Participants learn time series analysis methods using financial market data, including autocorrelation, ARMA models, trends, regression, and forecasting. In addition, machine learning techniques such as regularization and random forests are applied. The course also covers value-at-risk, forecast intervals with bootstrapping, and expected shortfall as a risk measure.
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Agenda:
- Motivation, data preparation and exploratory data analysis in Pandas and Matplotlib
- Time series analysis fundamentals with statsmodels:
- Autocorrelation, ARMA models, regression, trends, stationarity, forecasting, forecast evaluation
- Analysis of other variables associated with exchange rate development
- ML forecasting with scikit-learn:
- Regularization, Random Forests, etc.
- Estimation of forecast intervals and Value at Risk/Expected Shortfall using bootstrapping
- Practical examples and exercises for applying the learned methods
Objectives:
Fundamental time series analysis, foreign exchange rate analysis, machine learning implementation, Value-at-Risk concept.Target audience:
- Developers
- IT Professionals
Prerequisites:
- AI200 Introduction to Python for Data Science and AI (alternatively basic knowledge in Python)
- AI210 Introduction to Data Extraction and Data Preparation
- AI220 Introduction to Machine Learning
Description:
In the workshop AI412 Time Series Analysis for Financial Data with Machine Learning you will learn how to analyze exchange rates and other variables associated with exchange rate development using financial market data. Basic methods of time series analysis such as autocorrelation, ARMA models, regression, trends, stationarity, forecasting and forecast evaluation will be covered.Additionally, machine learning methods such as regularization and Random Forests will be presented and applied. Finally, the concept of Value-at-Risk as a risk measure will be covered and forecast intervals as well as Expected Shortfall will be estimated using bootstrapping.
Please also note the content-related module AI410 Sales Forecasting and Inventory Optimization with Machine Learning.
Guaranteed implementation:
from 2 Attendees
Booking information
Price:
450,00 € plus VAT.
(including lunch & drinks)
Appointment selection:
No appointment available
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