Seminar series
Date
Fri, 27 May 2016
Time
13:00 -
14:30
Location
L6
Speaker
Justin Sirignano, postdoc at Imperial College.
Organisation
Imperial College London
Deep learning has emerged as one of the forefront areas in machine learning, achieving major success in imaging, speech recognition, and natural language processing. We apply deep learning to two areas in finance: (1) mortgage delinquency and prepayment and (2) limit order books. Using datasets unprecedented in size, we show that deep neural networks outperform several status quo approaches. Due to the heavy computational cost from both the size of the models and the data, we use GPU clusters to train the models.