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Kamil90
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Joined: February 15th, 2012, 2:02 pm

ML/DS techniques in FI asset management

July 8th, 2022, 3:47 am

I am new to the topic but I would like to read papers/books/anything interesting to learn more how ML and data science is used in buy side Fixed income Asset management firms. Factor investing/signals/etc? I have no idea how it can be used but I would love to know more! I would be interested in actual projects with implementation details.
 
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Cuchulainn
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Re: ML/DS techniques in FI asset management

July 23rd, 2022, 11:44 am

Start with separating the wheat from the chaff..
AI and ML are fancy names for Statistical Learning, grosso modo ??
 
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Re: ML/DS techniques in FI asset management

July 28th, 2022, 8:41 pm

I'm with Cuch on this one. There are probably hundreds of resarch papers online that "demonstrate the superiority of [ML model] to forecast the yield curve". FWIW I was discussing recently with a fixed-income data scientist (I'm not sure of his official job title) working with a well-known Middle East sovereign fund (you know who I mean). The guy post short pieces of research on his blog from time to time (don't ask me I won't disclose much. you have to find find yourself). I asked him Hey do you do those things in real life? His answer was a fat NO.