The role of Artificial Intelligence in market risk measurement Does Artificial Intelligence provide a significant improvement in market risk measurement? / Maël BIGNON / 2022

Titre : The role of Artificial Intelligence in market risk measurement Does Artificial Intelligence provide a significant improvement in market risk measurement? Type de document : Mémoire Auteurs : Maël BIGNON, Auteur Année de publication : 2022 Importance : 30 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec cotre compte Office 365 via le bouton CONNEXION en haut de la page. Langues : Anglais (eng) Mots-clés : Management INTELLIGENCE ARTIFICIELLE ; RISQUE FINANCIER ; AUTOMATISATION Résumé : The study aims to show that Artificial Intelligence can improve market risk measurement. The example of market risk chosen is stock investment risk. To realize so, two forecasting measurements methods are considered: one with the use of Artificial Intelligence (more specifically machine learning) called machine learning analysis and one without the use of Artificial Intelligence called technical analysis. These forecasting models are compared to find out what models is the most accurate when forecasting future stock prices. To compare the accuracy performance of both models, two metrics are considered: the root mean squared error and the mean absolute percentage error. This comparison is done for the ten biggest US-based companies of the tech and internet industry, using historical stock closing prices. A five-year stock prices sample is considered from 2016 to 2021. Both forecasting models were built with algorithms on Python that produce the forecasts and output the accuracy performance metrics. The results show that machine learning analysis is more accurate and therefore Artificial Intelligence provides more accurate forecasts which ensure a potential improvement of risk measurement. Programme : MSc Corporate Finance Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=568523