Machine learning-aided modeling of fixed income instruments

Machine learning-aided modeling of fixed income instruments [Expected Read Time: 30 min]

The fixed income market is very important to the economy. Sovereign issues are influenced by central bank policy, and corporate issues are viewed relative to these sovereign issues. Compared to equities, bonds have lower liquidity and transparency; hence, there is less public data available. We demonstrate the applicability of machine learning models in forecasting interest rates for U.S. Treasuries of varying maturities, as well as clean prices of corporate issues.

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