Francesco Fabozzi

Managing Editor Journal of Financial Data Science

Francesco A. Fabozzi is the managing editor of The Journal of Financial Data Science, a consultant for Frank J. Fabozzi Associates, and a research associate in the Mathematical Finance graduate program at NYU’s Courant Institute.  He earned a baccalaureate degree in economics (certificate in finance) from Princeton University and a master’s degree in financial analytics from the Stevens Institute of Technology. His main research interest is machine learning applications in finance. He also serves on the curriculum committee for the FDP certificate program.

Conference Day One: June 30 2020

Tuesday, June 30th, 2020

4:00 PM Factor forecasting and rotation: Comparing Econometric and Machine Learning approaches

- Highlighting the difference between econometric and machine learning approaches in developing factor forecasting and rotation using a high macroeconomic dataset
- Exploring techniques which are key in preventing overfitting 
- Identifying machine learning approaches that outperform on a risk-adjusted basis