AI & Machine Learning in Finance: The Virtue of Complexity in Financial Machine Learning

Swedish House of Finance Podcast

Using AI and Machine learning in asset pricing and asset management is in the midst of a boom. But are portfolios based on these richly parameterized models well understood?
In this episode, Bryan Kelly, Professor of Finance at Yale School of Management and Head of Machine Learning at AQR Capital Management, talks about the behavior of return prediction models in a high complexity regime and the ability of high complex models to predict recessions.