Corpus ID: 46938886

Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)

@article{Kirczenow2018MachineLF,
  title={Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)},
  author={Greg Kirczenow and Ali Fathi and Matt Davison},
  journal={ArXiv},
  year={2018},
  volume={abs/1806.01731}
}
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… Expand

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