Applying Machine Learning to Financial Risk Management

This Presentation was part of the 2022 Annual Symposium on April 28th-29th in Washington, DC.

Probability of profit (POP) of each trade depends not only on a strategy’s track record, but also on the market and macroeconomic environment. Machine learning can be used to compute this probability from a large number of indicators capturing this environment. Traders can use this POP for bet sizing and risk management.