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A Note on Combining Machine Learning with Statistical Modeling for Financial Data Analysis

Abstract: This note revisits the ideas of the so-called semiparametric methods that we consider to be very useful when applying machine learning in insurance. To this aim, we first recall the main essence of semiparametrics like the mixing of global and local estimation and the combining of explicit modeling with purely data adaptive inference. Then, we discuss stepwise approaches with different ways of integrating machine learning. Furthermore, for the modeling of prior knowledge, we introduce classes of distribution families for financial data. The proposed procedures are illustrated with data on stock returns for five companies of the Spanish value-weighted index IBEX35.

Otras publicaciones de la misma revista o congreso con autores/as de la Universidad de Cantabria

 Autoría: Sarabia J.M., Prieto F., Jordá V., Sperlich S.,

 Fuente: Risks, Volume 8, Issue 2, June 2020, Article number 32

Editorial: Multidisciplinary Digital Publishing Institute (MDPI)

 Fecha de publicación: 01/06/2020

Nº de páginas: 14

Tipo de publicación: Artículo de Revista

 DOI: 10.3390/risks8020032

ISSN: 2227-9091

Proyecto español: ECO2016-76203-C2-1-P

Url de la publicación: https://doi.org/10.3390/risks8020032