Week 5
Asset Pricing with Big Data
Where the course title comes true: alternative data, machine learning methods in asset pricing, what they can and cannot do — and a few warnings about disruption.
Week 5 materials
What we cover
- What we’ve learned so far: from Markowitz to the factor zoo
- Financial data over time: how the data itself has exploded
- Alternative data and its applications: text, satellites, transactions
- Machine learning in asset pricing: methods and real applications
- A few words about disruption — and the warnings that come with it
Put it to work
This week’s lab, PC Lab 4, applies these ideas to real data — and next week the Hackathon puts everything together.