Showing 1 - 5 of 5
We give explicit algorithms and source code for extracting factors underlying Treasury yields using (unsupervised) machine learning (ML) techniques, such as nonnegative matrix factorization (NMF) and (statistically deterministic) clustering. NMF is a popular ML algorithm (used in computer...
Persistent link: https://www.econbiz.de/10012844700
We give an explicit algorithm and source code for constructing risk models based on machine learning techniques. The resultant covariance matrices are not factor models. Based on empirical backtests, we compare the performance of these machine learning risk models to other constructions,...
Persistent link: https://www.econbiz.de/10012895821
Persistent link: https://www.econbiz.de/10012807008
Persistent link: https://www.econbiz.de/10012237599
Persistent link: https://www.econbiz.de/10011847616