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Machine Learning for Finance
book

Machine Learning for Finance

by James Le, Jannes Klaas
May 2019
Intermediate to advanced content levelIntermediate to advanced
456 pages
11h 38m
English
Packt Publishing
Content preview from Machine Learning for Finance

Bayesian deep learning

We now have a whole set of models that can make forecasts on time series. But are the point estimates that these models give sensible estimates or just random guesses? How certain is the model? Most classic probabilistic modeling techniques, such as Kalman filters, can give confidence intervals for predictions, whereas regular deep learning cannot do this. The field of Bayesian deep learning combines Bayesian approaches with deep learning to enable models to express uncertainty.

The key idea in Bayesian deep learning is that there is inherent uncertainty in the model. Sometimes this is done by learning a mean and standard deviation for weights instead of just a single weight value. However, this approach increases the number ...

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Publisher Resources

ISBN: 9781789136364Supplemental Content