Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)
This paper studies the application of machine learning in extracting the market implied features from historical risk neutral corporate bond yields. We consider the example of a hypothetical illiquid fixed income market. After choosing a surrogate liquid market, we apply the Denoising Autoencoder algorithm from the field of computer vision and pattern recognition to learn the features of the missing yield parameters from the historically implied data of the instruments traded in the chosen liquid market. The results of the trained machine learning algorithm are compared with the outputs of a point in- time 2 dimensional interpolation algorithm known as the Thin Plate Spline. Finally, the performances of the two algorithms are compared.
Code (0)
등록된 구현이 없습니다.
Tasks
BIG-bench Machine LearningDenoisingSimilar Papers 제목 키워드 기반
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds
This paper studies an application of machine learning in extracting features from the historical market implied corporate bond yields. We consider an example of a hypothetical illiquid fixed income market. After choosing…
BIG-bench Machine LearningDenoisingRotation invariants of two dimensional curves based on iterated integrals
We introduce a novel class of rotation invariants of two dimensional curves based on iterated integrals. The invariants we present are in some sense complete and we describe an algorithm to calculate them, giving explici…
BIG-bench Machine LearningVocal Bursts Valence PredictionLCDC: Bridging Science and Machine Learning for Light Curve Analysis
The characterization and analysis of light curves are vital for understanding the physical and rotational properties of artificial space objects such as satellites, rocket stages, and space debris. This paper introduces …
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching
We explore tree-based macroeconomic regime-switching in the context of the dynamic Nelson-Siegel (DNS) yield-curve model. In particular, we customize the tree-growing algorithm to partition macroeconomic variables based …
Recognition of feature curves on 3D shapes using an algebraic approach to Hough transforms
Feature curves are largely adopted to highlight shape features, such as sharp lines, or to divide surfaces into meaningful segments, like convex or concave regions. Extracting these curves is not sufficient to convey pro…