Quants warn over flaws in machine learning predictions

Press review Risk.net “(…) Another key issue pointed out by the opposition in the debate was that excessive reliance on algorithms could end up influencing market prices in a potentially dangerous way. Riccardo Rebonato, professor of finance at EDHEC Business School, described a feedback effect called reflexivity whereby automated machine learning algorithms could potentially move prices as they try to learn from price data and implement new trading strategies at high frequencies. So the algorithm ends up moving the very prices it was meant to analyse and learn from.(…)” Copyright Risk.net https://www.risk.net/derivatives/5451231/quants-warn-over-flaws-in-machine-lear… 2018