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Can equity analysts be replaced by machine learning or is a combined approa...

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Lulu

125b George St

Edinburgh

EH2 4JN

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Can equity analysts be replaced by machine learning or is a combined approach optimal?

Presented by: Alistair Haig

Time: doors opening at 6pm with the presentation starting at 6.15pm Sharpe

Cost: Free (drinks and canapés sponsored by Northfield and Axioma)


Abstract

Machine learning (ML) is now being used to perform investment analysis. We evaluate the relative effectiveness of valuations made by analysts and a machine learning algorithm. Analysts in our global sample are independent of brokerage incentives and collectively make unbiased valuations using a standardised discounted cash flow model. Neither analyst not ML valuations serve as viable predictors of subsequent returns when used alone. In combination they offer credible predictive power which can be increased by adding a price momentum factor. Analyst and ML valuations could be improved by placing greater emphasis on past returns.


Alistair Haig – University of Edinburgh Business School

Alistair started his career at an investment technology firm in the 1990s then moved to buy-side and sell-side investment research. He now teaches practice-based courses in finance and investment at the University of Edinburgh Business School.

His research is driven by questions from practice with a focus on regulatory, institutional and technological change in investment analysis. His current projects examine the use of machine learning in investment analysis. Alistair’s paper can be found at: http://ssrn.com/author=2062896



What is QWAFAFEW?

QWAFAFEW (Quantative Work Alliance for Applied Finance, Education, and Wisdom) is an informal organization of quantitatively oriented professionals in various aspects of financial services (primarily investment management). With existing chapters in Boston, New York, Chicago, Denver, Pittsburgh, Princeton, San Francisco, Washington DC, Hartford, and Philadelphia. The Edinburgh chapter is the first in Europe.

The group was formed a number of years ago to provide a venue for quantitative researchers to discuss their evolving work with peers. Our membership includes a wide variety of interests and levels of responsibility. The members span the gamut from owners and senior executives of investment related organizations to recent entrants to the industry. All share a common interest in quantitative solutions to understanding investment markets. Join QWAFAFEW-Europe LinkedIn Group or the North American LinkedIn Group to keep up with the latest developments.

Why join QWAFAFEW?

As the quantitative investment community in Edinburgh has grown QWAFAFEW organization provides a forum for discussing relevant topics, exchanging ideas and networking with peers in an informal setting. QWAFAFEW is a non-profit group created and managed by members of the quantitative community.


Please join us and feel free to invite friends and colleagues. For more information contact Matt Monach (matt.monach@aberdeenstandard.com)


Thank you to our sponsors!



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Lulu

125b George St

Edinburgh

EH2 4JN

United Kingdom

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