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Term Structure Modelling (Market Notes, 521 pages)
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Term Structure Modelling (Market Notes, 521 pages)

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HangukQuant
Apr 30, 2023
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HangukQuant Research
HangukQuant Research
Term Structure Modelling (Market Notes, 521 pages)
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Notes
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In our last paper we explored the Ledoit-Wolf constant correlation shrinkage method for covariance estimation.

Ledoit-Wolf Constant Correlation Shrinkage (Python)

Ledoit-Wolf Constant Correlation Shrinkage (Python)

HangukQuant
·
April 21, 2023
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This week, we update our market notes, adding Chapter 12.8 on Term Structure Models. This leaves the last chapter on jump processes for the theoretical treatments to stochastic calculus.

The next few posts will update and contain Python code for our Alpha library which is the Russian Doll backtesting module for alphas, designed to be a powerful and flexible tool for running our quantitatve (multi) strategy systems. This will make use of the benchmark datasets introduced here:

A Box of Alphas to Rock Your Socks; Benchmark Datasets for Portfolio Optimization

A Box of Alphas to Rock Your Socks; Benchmark Datasets for Portfolio Optimization

HangukQuant
·
April 23, 2023
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Table of Contents:

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247KB ∙ PDF file
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