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Introduction to Financial Econometrics, Mathematics, Statistics, and Machine Learning

In: HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING

Author

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  • Cheng Few Lee

Abstract

The main purpose of this introductory chapter is to give an overview of the following 130 papers, which discuss financial econometrics, mathematics, statistics, and machine learning. There are eight sections in this introductory chapter. Section 1 is the introduction, Section 2 discusses financial econometrics, Section 3 explores financial mathematics, and Section 4 discusses financial statistics. Section 5 of this introductory chapter discusses financial technology and machine learning, Section 6 explores applications of financial econometrics, mathematics, statistics, and machine learning, and Section 7 gives an overview in terms of chapter and keyword classification of the handbook. Finally, Section 8 is a summary and includes some remarks.

Suggested Citation

  • Cheng Few Lee, 2020. "Introduction to Financial Econometrics, Mathematics, Statistics, and Machine Learning," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 1, pages 1-99, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811202391_0001
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    Cited by:

    1. Jacinta Chan Phooi M’ng & Ham Yi Jer, 2021. "Do economic statistics contain information to predict stock indexes futures prices and returns? Evidence from Asian equity futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1033-1060, October.

    More about this item

    Keywords

    Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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