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DRPS : Course Catalogue : Business School : Common Courses (Management School)

Postgraduate Course: Financial Machine Learning II (Practical) (CMSE11528)

Course Outline
SchoolBusiness School CollegeCollege of Arts, Humanities and Social Sciences
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) AvailabilityAvailable to all students
SCQF Credits10 ECTS Credits5
SummaryThis course focuses on the implementation and evaluation of state-of-the-art machine learning systems in financial time-series like high-frequency trading; specifically, it covers practical aspects of machine learning and focuses on industry-related (i.e., hedge funds, and prop trading firms) experimental issues in deep learning and neural networks. Students who take this course will obtain experience in the design, implementation, training, and evaluation of machine learning systems for high-frequency trading stock price forecasting tasks.
Course description Standard methods and theories in finance and economics are ill-equipped to capture complex data signals presented in financial and related data. Deep learning approaches offer more useful insights into these complex signals generated by big data. This course, which covers practical aspects of state-of-the-art deep learning and focuses on industry-related experimental issues in the application of deep learning and neural networks to financial microstructure time-series such as high-frequency trading data, will provide students with tools that are relevant to the big data challenges in financial economics.

Outline Content

- High-Frequency Trading (HFT) and Limit Order Books

- Application of Feed-forward Network architectures to HFT data

- Optimisation and Learning Rules

- Regularisation and Normalisation

- Neural Networks for Classification

- Autoencoders

- Convolutional Neural Networks

- Recurrent Neural Networks

- Reinforcement Learning

- Transformers
Entry Requirements (not applicable to Visiting Students)
Pre-requisites It is RECOMMENDED that students have passed Python Programming (MATH11199)
Co-requisites Students MUST also take: Introductory Applied Machine Learning (Semester 2) (INFR11205)
Prohibited Combinations Other requirements A familiarity with basic mathematics, including algebra and calculus is essential. A reasonable knowledge of computational, logical, geometric and set-theoretic concepts is assumed. Working knowledge of vectors and matrices and a basic understanding of probability and partial differentiation are is also necessary. Students should have programming experience. Programming in a numerical language will be required.
Information for Visiting Students
High Demand Course? Yes
Course Delivery Information
Academic year 2023/24, Available to all students (SV1) Quota:  None
Course Start Block 4 (Sem 2)
Timetable Timetable
Learning and Teaching activities (Further Info) Total Hours: 100 ( Seminar/Tutorial Hours 10, Programme Level Learning and Teaching Hours 2, Directed Learning and Independent Learning Hours 88 )
Assessment (Further Info) Written Exam 0 %, Coursework 100 %, Practical Exam 0 %
Additional Information (Assessment) 100% coursework (Individual) - Assesses all course Learning Outcomes
Feedback Formative: Feedback provided throughout courses.

Summative: Feedback will be provided on the assessment within agreed deadlines.
No Exam Information
Learning Outcomes
On completion of this course, the student will be able to:
  1. Develop critical experience in the design, implementation, training, and evaluation of machine learning systems
  2. Critically evaluate technical papers, and explain their relevance
  3. Design and carry out appropriate experiments, and explain the methodology involved
  4. Critically evaluate machine learning systems
  5. Write a scholarly report, suitably structured and with supporting evidence
Reading List
Ian Goodfellow, Yoshua Bengio, and Aaron Courville, Deep Learning, 2016, MIT Press.

Michael Nielsen, Neural Networks and Deep Learning, 2016. Online at:

Christopher M Bishop, Neural Networks for Pattern Recognition, 1995, Clarendon Press.
Additional Information
Graduate Attributes and Skills Not entered
KeywordsNot entered
Course organiserDr Adam Ntakaris
Course secretaryMiss Tamara Turford
Tel: (0131 6)50 8074
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