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Andrew Li Discusses Beyond the Black Box - Machine Learning for Equities
Developing reliable and intuitive interpretation is essential for the application of machine learning to investing. This presentation discusses a framework for decomposing any machine learning model into linear, nonlinear, and interaction effects that drive both prediction and performance. With a case study of predicting US large cap stock returns, this presentation will show how the "Model Fingerprint" tool enables practitioners to summarize key characteristics, similarities and differences among different models, thereby enhancing their understanding of the market. Dr. Kathryn Wilkens, Founder of Pearl Quest LLC and current member of the FDP Institute curriculum team will explore this further with Andrew Li, Vice President, Quantitative Researcher, State Street Associates.

The Financial Data Professional Institute (FDPI), established by CAIA Association, has designed a self-study program to provide financial professionals with an efficient path to learn the essential aspects of financial data science.

Presentation will last approximately 45 minutes followed by 15 minutes for Q&A. Session will be recorded, and the recording link will be sent to those who have registered for the webinar.

Dec 14, 2022 11:00 AM in Eastern Time (US and Canada)

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Speakers

Kathryn Wilkens, PhD, CAIA
Founder @Pearl Quest LLC
Kathryn is the founder of Pearl Quest, LLC, a consulting company specializing in alternative investment products and education, including the application of data science techniques in finance. She has a Ph.D. in finance from the University of Massachusetts at Amherst. Kathryn is also a research associate of the Center for International Securities and Derivatives Markets (CISDM), home to the Morningstar-CISDM hedge fund indices. She is widely published in several journals and books and has been an assistant editor for the Journal of Alternative Investments for the past ten years. She regularly writes Practical Applications reports for Pageant Media, the publisher of the Journal of Alternative Investments, Journal of Portfolio Management, and its new Journal of Financial Data Science, among others. She was the Curriculum Director at CAIA in its formative years and is a Curriculum Team consultant for CAIA’s Financial Data Professional (FDP) program.
Andrew Li
Vice President, Quantitative Researcher @State Street Associates
Andrew Yimou Li is Vice President and Machine Learning Research Lead in the Portfolio Management Team at State Street Associates. The Portfolio Management Research Team collaborates with academic partners to develop new research on asset allocation, risk management, and investment strategy. Andrew works closely with institutional clients to deliver his research through practical applications, advisory projects, and thought leadership publications. Andrew received his Bachelor of Science in Applied Mathematics and Economics from Brown University and Master of Finance from MIT.