Greg Kirczenow

Greg Kirczenow, Masoud Hashemi, Ali Fathi et al.

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 a surrogate liquid market, we apply the Denoising Autoencoder (DAE) algorithm to learn the features of the missing yield parameters from the historical data of the instruments traded in the chosen liquid market. The DAE algorithm is then challenged by two "point-in-time" inpainting algorithms taken from the image processing and computer vision domain. It is observed that, when tested on unobserved rate surfaces, the DAE algorithm exhibits superior performance thanks to the features it has learned from the historical shapes of yield curves.

Greg Kirczenow, Ali Fathi, Matt Davison

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.