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Zhongmin Luo
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Latest Activity

Zhongmin Luo liked Vincent Granville's blog post 13 Great Articles and Tutorials about Correlation
Aug 3
Harisha liked Zhongmin Luo's blog post A Guide for Applying Machine Learning Techniques in Finance
Jul 4
John Lewis liked Zhongmin Luo's blog post A Guide for Applying Machine Learning Techniques in Finance
May 28
Zhongmin Luo updated their profile
Apr 13
Zhongmin Luo liked hadrienj's blog post Boost your data science skills. Learn linear algebra.
Apr 6
Zhongmin Luo liked Vincent Granville's blog post Difference between Machine Learning, Data Science, AI, Deep Learning, and Statistics
Apr 5
Zhongmin Luo liked Vincent Granville's blog post 20 Great Blogs Posted in the last 12 Months
Apr 5
Zhongmin Luo liked Vincent Granville's blog post 10 Modern Statistical Concepts Discovered by Data Scientists
Apr 1
Zhongmin Luo liked Vincent Granville's blog post Types of Machine Learning Algorithms in One Picture
Apr 1
Zhongmin Luo liked Vincent Granville's blog post Stochastic Processes and New Tests of Randomness - Application to Cool Number Theory Problem
Mar 31
Zhongmin Luo liked Vincent Granville's blog post Number Representation Systems Explained in One Picture
Mar 21
Zhongmin Luo liked Shruti Goyal's blog post Credit Risk Prediction Using Artificial Neural Network Algorithm
Mar 21
Zhongmin Luo commented on Vincent Granville's blog post A Simple Introduction to Complex Stochastic Processes - Part 2
"Stochastic process, indeed, is used a lot in Finance, especially in derivative pricing. Well-known Black-Scholes (and Merton) model for European Call option assumes stock prices follow Geometric BrownianMotion. Just to name a few: Interest…"
Mar 20
Zhongmin Luo liked Vincent Granville's blog post A Simple Introduction to Complex Stochastic Processes - Part 2
Mar 20
Zhongmin Luo commented on Vincent Granville's blog post A Simple Introduction to Complex Stochastic Processes
"I like your article, especially you put the Finance in front of Physics as two areas for applying Brownian Motion. French Mathematician Louis Bachelier was the first to use the idea of Random Walk and Brownian Motion to analyze stocks in his PhD…"
Mar 20
Zhongmin Luo commented on Shruti Goyal's blog post Credit Risk Prediction Using Artificial Neural Network Algorithm
"As shown in the paper, out of the 8 most popular Classification algorithmics, Naive Bayes performs the worst for the particular problem (which happens to be related to Credit Risk in Financial Market expressed by Credit Default Swap.), outperformed…"
Mar 20

Profile Information

Short Bio
Quantitative Finance professional focused on Research and Development of risk and valuation models by applying techniques in financial mathematics and machine learning to solve real world problems.
My Web Site Or LinkedIn Profile
http://www.linkedin.com/in/zhongminluo/
Professional Status
Technical
Years of Experience:
15
Your Company:
Birkbeck, University of London
Industry:
Academic
Your Job Title:
Researcher
Interests:
Contributing, Networking, Finding a new position, New venture

Zhongmin Luo's Blog

Machine Learning Techniques based paper one of the two Risk Quant Europe 2018 Call for Paper Winners

Posted on February 24, 2018 at 2:00am 0 Comments

Each year, Risk Quant Europe Conference, a conference well-attended by practitioners from banking, asset management, insurers as well as academics from Europe, selects two papers to present in their annual conference.

For 2018, our paper is lucky to be one of the two winning papers selected by the Advisory Board for the conference to be held in London. Please feel free to check out our paper titled CDS Rate Construction Methods by Machine Learning…

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A Guide for Applying Machine Learning Techniques in Finance

Posted on June 5, 2017 at 7:30pm 6 Comments

Does it sound familiar to you? In order to get an idea of how to choose a parameter for a given classifier, you have to cross reference to a number of papers or books, which often turn out to present competing arguments for or against a certain parameterization choice but with few applications to real-world problems.

For example, you may find a few papers discussing optimal selection of K in…

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Choice of K in K-fold Cross Validation for Classification in Financial Market

Posted on June 2, 2017 at 7:00pm 0 Comments

Cross Validation is often used as a tool for model selection across classifiers. As discussed in detail in the following paper https://ssrn.com/abstract=2967184, Cross Validation is typically performed in the following steps:

  • Step 1: Divide the original sample into K sub samples; each subsample typically has equal sample size and is referred to as one fold, altogether,…
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Parameter Selection in Classification for Financial Market

Posted on May 29, 2017 at 12:49am 0 Comments

In practice, we often have to make parameterization choices for a given classifier in order to achieve optimal classification performances; just to name a few examples:

  • Neural Network: e.g., the optimal choice of Activation Functions, # of hidden units
  • Support Vector Machine: e.g., the optimal choice of Kernel Functions
  • Ensemble: e.g., the number of Learning Cycles for Bagging.
  • Discriminant Analysis: e.g., Linear/Quadratic; regularization…
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