by Amin Haeri, Catalina Gomez Sanchez, David Li, Mahdi Ghelichi, Nishant Agrawal
Continue on SelfMadeQuant
Suggested foundations for rates and fixed income and financial machine learning. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Preserve time order and avoid future information in training.
Establish an interpretable baseline before a flexible model.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Account for dependence and overlapping observations.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.