Autoencoder-based three-factor model for the yield curve of Japanese government bonds and a trading strategy
Year of publication: |
2020
|
---|---|
Authors: | Suimon, Yoshiyuki ; Sakaji, Hiroki ; Izumi, Kiyoshi ; Matsushima, Hiroyasu |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 13.2020, 4, p. 1-21
|
Publisher: |
Basel : MDPI |
Subject: | autoencoder | interpretability | machine learning | term structure of interest rates | yield curve |
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