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Machine Learning for Finance

You're reading from   Machine Learning for Finance Principles and practice for financial insiders

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Product type Paperback
Published in May 2019
Publisher Packt
ISBN-13 9781789136364
Length 456 pages
Edition 1st Edition
Languages
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Authors (2):
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Jannes Klaas Jannes Klaas
Author Profile Icon Jannes Klaas
Jannes Klaas
James Le James Le
Author Profile Icon James Le
James Le
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Table of Contents (15) Chapters Close

Machine Learning for Finance
Contributors
Preface
Other Books You May Enjoy
1. Neural Networks and Gradient-Based Optimization 2. Applying Machine Learning to Structured Data FREE CHAPTER 3. Utilizing Computer Vision 4. Understanding Time Series 5. Parsing Textual Data with Natural Language Processing 6. Using Generative Models 7. Reinforcement Learning for Financial Markets 8. Privacy, Debugging, and Launching Your Products 9. Fighting Bias 10. Bayesian Inference and Probabilistic Programming Index

Training to be fair


There are multiple ways to train models to be fairer. A simple approach could be using the different fairness measures that we have listed in the previous section as an additional loss. However, in practice, this approach has turned out to have several issues, such as having poor performance on the actual classification task.

An alternative approach is to use an adversarial network. Back in 2016, Louppe, Kagan, and Cranmer published the paper Learning to Pivot with Adversarial Networks, available at https://arxiv.org/abs/1611.01046. This paper showed how to use an adversarial network to train a classifier to ignore a nuisance parameter, such as a sensitive feature.

In this example, we will train a classifier to predict whether an adult makes over $50,000 in annual income. The challenge here is to make our classifier unbiased from the influences of race and gender, with it only focusing on features that we can discriminate on, including their occupation and the gains they...

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