In-person and Virtual Participation Available
Machine learning (ML) models are now widely applied to understand and predict patterns in financial markets. Classification trees and artificial neural networks are popular choices for modelling market behavior and risk measures. ML models are powerful tools, but must be handled with care to produce interpretable and reliable results for risk managers.
As data-driven decision processes made their way into risk management, estimation and model identification issues have arisen. These might result from too much or too little data and be reinforced by model choices that are inappropriate given the prevailing market conditions.
To capture varying market conditions, we develop a model combining a long-short-term memory neural network (LSTM) with a Hidden Markov model (HMM).
The presentation will cover:
• Detection of hidden states in observed financial time series
• Incorporation of regime information into LSTM
• Forecasting of corporate credit spreads in changing market regimes
• Accuracy of neural network and HMM-LSTM prediction applied to corporate credit spreads of three European countries
Furthermore, an outlook is given on an HMM-LSTM ensemble model, where regime-switching information works as a gating function to activate a neural network. We apply this to time series forecasting in electricity markets.
Agenda
6:00 – 6:30pm: Registration
6:30 – 7:30pm: Presentation
7:30 – 9:00pm: Networking Reception
Meeting Location:
Deutsche Bank AG
Otto-Suhr-Allee 6-16, 10585 Berlin
Online link to follow
Attendees qualify for 1 GARP CPD credit.
September 28, 2022
6:00 PM - 9:00 PM
Hybrid
Join Online
Link Emailed Upon Registration
or
Deutsche Bank AGOtto-Suhr-Allee 6-16, 10585 Berlin, Otto-Suhr-Allee 6-16,, Berlin, 10585
Christina Erlwein-Sayer
Professor of Statistics and Financial Mathematics,Hochschule für Technik und Wirtschaft (HTW) Berlin
Markus Quick
Partner KPMG
Natalie Packham
Professor of Mathematics and Statistics Berlin School of Economics and Law
Enrique Rivero Azaola
Senior Supervisor Single Supervisory Mechanism - European Central Bank