Machine Learning and Finance: A Review using Latent Dirichlet Allocation Technique (LDA)

Ahmed Sameer El Khatib

doi:10.31686/ijier.vol9.iss4.3016

Authors

Ahmed Sameer El Khatib

Centro Universitário Fundação Assis Gurgacz

DOI:

https://doi.org/10.31686/ijier.vol9.iss4.3016

Keywords:

Machine Learning, topic modelling, structuring finance research, latent dirichlet allocation

Abstract

The aim of this paper is provide a first comprehensive structuring of the literature applying machine learning to finance. We use a probabilistic topic modelling approach to make sense of this diverse body of research spanning across the disciplines of finance, economics, computer sciences, and decision sciences. Through the topic modelling approach, a Latent Dirichlet Allocation Technique (LDA), we can extract the 14 coherent research topics that are the focus of the 6,148 academic articles during the years 1990-2019 analysed. We first describe and structure these topics, and then further show how the topic focus has evolved over the last two decades. Our study thus provides a structured topography for finance researchers seeking to integrate machine learning research approaches in their exploration of finance phenomena. We also showcase the benefits to finance researchers of the method of probabilistic modelling of topics for deep comprehension of a body of literature, especially when that literature has diverse multi-disciplinary actors.

Author Biography

Ahmed Sameer El Khatib, Centro Universitário Fundação Assis Gurgacz

Professor, Deptartament of Accounting

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