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I am looking for some seminal papers regarding machine learning being applied to financial markets, I am interested in all areas of finance however to keep this question specific I am now looking at academic papers on machine learning applied to financial markets.

I come across the following paper which covers much of the theory behind extreme gradient boosting with a financial markets application, they were able to predict the direction of the market with 88% accuracy.

https://www.researchgate.net/publication/309492895_Forecasting_to_Classification_Predicting_the_direction_of_stock_market_price_using_Xtreme_Gradient_Boosting

R-bloggers did a post a few months ago on this exact same idea.

https://www.r-bloggers.com/forecasting-markets-using-extreme-gradient-boosting-xgboost/

user113156
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    Prediction in finance is notoriously difficult. If anyone knows any good ML models which can work out of sample, they certainly won't post papers on them until they become bad, they'd implement and extract the alpha whilst they work. – Dale C Sep 08 '17 at 08:54
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    Thanks for your comment, I am not necessarily looking for papers on how to predict stock market movements and profitability but more towards the theory behind machine learning applied to finance and some leading authors in this area. Some areas might be credit risk modelling, banking, business solutions etc. – user113156 Sep 08 '17 at 09:12
  • @TilefishPoele unless working in a niche, and need some branding in order to raise funds; but basically, yes you're right. – mic Sep 08 '17 at 10:44
  • Despite the potential interest in this question among some members of our community, this kind of vague, open-ended, query for a list of things is quite definitely not the type we can handle here. – whuber Sep 08 '17 at 12:50

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Deep Learning for mortgage risk

Risk and Risk Management in the Credit Card Industry: Machine Learning and Supervision of Financial Institutions

Mortgage and Housing Microdata: Database Construction and Challenges for Statistical Inference

Neural Networks in Finance and Investing: Using Artificial Intelligence to Improve Real World Performance

Dale C
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