A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This study examines yield aggregators in DeFi, summarizing strategies and analyzing performance.
Survey of yield farming protocols in DeFi.
Yield curve forecasting is an important problem in finance. In this work we explore the use of Gaussian Processes in conjunction with a dynamic modeling strategy, much like the Kalman Filter, to model the yield curve. Gaussian Processes have been successfully applied to model functional data in a variety of application…
Extracts factors from Treasury yields using ML techniques.
This paper uses crypto derivatives data to estimate yield curves for cryptocurrencies.
Study proposes hybrid machine learning models for crop yield prediction.
The paper shows that energy futures yield curves have an affine geometry.
A robust machine learning approach forecasts U.S. Treasury yields, reducing risk for investors.
Paper forecasts recession indicators using yield spread models.
We derive an equation of motion for interest-rate yield curves by applying a minimum Fisher information variational approach to the implied probability density. By construction, solutions to the equation of motion recover observed bond prices. More significantly, the form of the resulting equation explains the success …
Machine learning fails to improve recession prediction with yield spread.
Deep learning models forecast multiple yield curves with improved accuracy.
We present a framework on how to hedge the interest rate sensitivity of liabilities discounted by an extrapolated yield curve. The framework is based on functional analysis in that we consider the extrapolated yield curve as a functional of an observed yield curve and use its Gâteaux variation to understand the sensiti…
Crop yield forecasting is the methodology of predicting crop yields prior to harvest. The availability of accurate yield prediction frameworks have enormous implications from multiple standpoints, including impact on the crop commodity futures markets, formulation of agricultural policy, as well as crop insurance ratin…
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no assumption on the volatility of the yield. We actually calculate the initial value of …
The paper analyzes the mathematics of the relationship between the default risk and yield-to-maturity of a coupon bond. It is shown that the yield-to-maturity is driven not only by the default probability and recovery rate of the bond but also by other contractual characteristics of the bond that are not commonly assoc…
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30 years. For each currency, the corresponding curve shows the relation between the lev…
Crop yield is a highly complex trait determined by multiple factors such as genotype, environment, and their interactions. Accurate yield prediction requires fundamental understanding of the functional relationship between yield and these interactive factors, and to reveal such relationship requires both comprehensive …
Study improves paddy rice yield predictions in Peru using sparse regression and climatic variables.
We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive matrices. In this setting we find a representation for the long-term yield and investigate the yield's asymptotic behaviour.
This study models Burundi's bond market yield curve using Nelson-Siegel and Svensson models.
Unified framework matches equity and bond yields.
Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we use a battery of parametric and non-parametric tests to demonstrate the existence of an antibubble in the yields with maturities larger than 1 year since October 2000. The concept of ``antibubble'' describes the e…
Cryptofinance generates yield through innovative decentralized finance.
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in…
Neural network model improves robustness of mortgage bond yield curve estimation.
Study predicts bond yields using machine learning and ultimate forward rates.
Crop yield prediction is extremely challenging due to its dependence on multiple factors such as crop genotype, environmental factors, management practices, and their interactions. This paper presents a deep learning framework using convolutional neural networks (CNN) and recurrent neural networks (RNN) for crop yield …
Study shows fiduciary duty reduces municipal bond yields by 9% after SEC rule.
Study improves prediction of commodity futures using multi-factor model.
Corn yield prediction is beneficial as it provides valuable information about production and prices prior the harvest. Publicly available high-quality corn yield prediction can help address emergent information asymmetry problems and in doing so improve price efficiency in futures markets. This paper is the first to em…
Open AI models affect bond yields differently than closed ones.
Eradicating hunger and malnutrition is a key development goal of the 21st century. We address the problem of optimally identifying seed varieties to reliably increase crop yield within a risk-sensitive decision-making framework. Specifically, we introduce a novel hierarchical machine learning mechanism for predicting c…
A reliable and accurate forecasting model for crop yields is of crucial importance for efficient decision-making process in the agricultural sector. However, due to weather extremes and uncertainties, most forecasting models for crop yield are not reliable and accurate. For measuring the uncertainty and obtaining furth…
Certain momentum-dependent terms in the fermion sector of the Lorentz-violating Standard Model Extension (SME) yield solvable classical lagrangians of a type not mentioned in the literature. These cases yield new relatively simple examples of Finsler and pseudo-Finsler structures. One of the cases involves antisymmetri…
Method improves microbial biomass yield estimation from noisy data.
Tether's dominance in U.S. Treasury bills lowers bond yields by 24 basis points.
This paper corrects an error in [Keller-Ressel, M. and Steiner T. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models." Finance and Stochastics 12.2 (2008): 149-172]. The error concerns the correct expression for the boundary between normal and humped yield curve behavior in affin…
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
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…
Effective plant growth and yield prediction is an essential task for greenhouse growers and for agriculture in general. Developing models which can effectively model growth and yield can help growers improve the environmental control for better production, match supply and market demand and lower costs. Recent developm…
Deep learning framework for bond and yield curve forecasting with no-arbitrage constraints.
A neural collaborative filtering method predicts corn hybrid yield performance.
Yield curve modeling is an essential problem in finance. In this work, we explore the use of Bayesian statistical methods in conjunction with Nelson-Siegel model. We present the hierarchical Bayesian model for the parameters of the Nelson-Siegel yield function. We implement the MAP estimates via BFGS algorithm in rstan…
We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data, as it is the case for interest rates. Furthermore, the model structure allows t…
Study assesses sugar beet yields under EU's neonicotinoids ban and climate change.
The term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample of historical data supplied by the National Stock Exchange of Costa Rica. The optimization proble…
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market players to revise this assumption and accommodate basis-swap spreads, whose remarkable widening can no longer be neglecte…