Revisiting Elastic String Models of Forward Interest Rates

By Victor Le Coz, Jean-Philippe Bouchaud

Published 2024-03-28

Everscope rating

1634.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Discrete Elastic String Model. Problem types: Time Series Forecasting, Dimensionality Reduction.

arXiv:2403.18126 · Paper rankings

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