Construction of an interest rate model from statistical data

Yuri Balasanov

doi:10.1109/SSP.2011.5967753

Construction of an interest rate model from statistical data

Yuri Balasanov^*

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

This presentation describes a method of processing signals from financial markets. We analyze yields to maturity of Treasury securities. The obtained statistical model can be used as a framework for generating signals for trading and risk management of interest rate derivative products in different market environments from high frequency to low frequency. We discuss the advantages and the trade-offs of low-dimensional parameterization of the market data. We discuss important steps from the statistical description to a signal processing framework for arbitrage-free analysis of financial derivative products. This presentation is based on the real experience that the author has had in the financial industry for many years as quantitative researcher, quantitative trader and risk manager. We thank the reviewers for constructive comments.

Original language	English (US)
Title of host publication	2011 IEEE Statistical Signal Processing Workshop, SSP 2011
Pages	53-56
Number of pages	4
DOIs	https://doi.org/10.1109/SSP.2011.5967753
State	Published - 2011
Externally published	Yes
Event	2011 IEEE Statistical Signal Processing Workshop, SSP 2011 - Nice, France Duration: Jun 28 2011 → Jun 30 2011

Publication series

Name	IEEE Workshop on Statistical Signal Processing Proceedings

Conference

Conference	2011 IEEE Statistical Signal Processing Workshop, SSP 2011
Country/Territory	France
City	Nice
Period	6/28/11 → 6/30/11

Keywords

interest rate model
Trading signals

ASJC Scopus subject areas

Electrical and Electronic Engineering
Applied Mathematics
Signal Processing
Computer Science Applications

Access to Document

10.1109/SSP.2011.5967753

Cite this

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title = "Construction of an interest rate model from statistical data",

abstract = "This presentation describes a method of processing signals from financial markets. We analyze yields to maturity of Treasury securities. The obtained statistical model can be used as a framework for generating signals for trading and risk management of interest rate derivative products in different market environments from high frequency to low frequency. We discuss the advantages and the trade-offs of low-dimensional parameterization of the market data. We discuss important steps from the statistical description to a signal processing framework for arbitrage-free analysis of financial derivative products. This presentation is based on the real experience that the author has had in the financial industry for many years as quantitative researcher, quantitative trader and risk manager. We thank the reviewers for constructive comments.",

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author = "Yuri Balasanov",

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doi = "10.1109/SSP.2011.5967753",

language = "English (US)",

isbn = "9781457705700",

series = "IEEE Workshop on Statistical Signal Processing Proceedings",

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AB - This presentation describes a method of processing signals from financial markets. We analyze yields to maturity of Treasury securities. The obtained statistical model can be used as a framework for generating signals for trading and risk management of interest rate derivative products in different market environments from high frequency to low frequency. We discuss the advantages and the trade-offs of low-dimensional parameterization of the market data. We discuss important steps from the statistical description to a signal processing framework for arbitrage-free analysis of financial derivative products. This presentation is based on the real experience that the author has had in the financial industry for many years as quantitative researcher, quantitative trader and risk manager. We thank the reviewers for constructive comments.

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KW - Trading signals

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BT - 2011 IEEE Statistical Signal Processing Workshop, SSP 2011

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ER -

Construction of an interest rate model from statistical data

Abstract

Publication series

Conference

Keywords

ASJC Scopus subject areas

Access to Document

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