Cordial saludo, 

Este viernes 16 de noviembre  se llevará a cabo la Septuagésima primera sesión del  Seminario Interno FEN donde se exponen trabajos en progreso de académicos y avances de tesis de estudiantes.

Datos de las presentación:

Título: Estimation and Prediction of Term estructure of Interest Rates in illiquid markets using Non Negative Matrix Factorization and Deep Learning techniques

Autores: David Díaz y Claudio Ortiz  

Presenta: David Díaz

Abstract: This paper presents a methodology for estimating and predicting yield curves in illiquid markets, i.e. those that are characterized by few transactions during the day, and that also, tend to cluster around a couple of duration pivots. In this type of markets, data sparsity is very common, as it is not possible to observe daily transactions in the majority of terms in the curve.

This "data sparsity" makes the utilization of current modern estimation and prediction techniques, such as PCA and Kalmann Filter models, difficult to implement as those rely heavily on the existence of abundant market data. This is especially important in emerging markets such as LATAM countries, in which the implementation of traditional methods typically presents large margin of errors and it is not as reliable as in more liquid markets.

In this paper, we propose the use of Non Negative Matrix Factorization (NNMF) techniques to obtain latent factors that represent most of the information content of the Yield curve. In contrast with similar traditional methods such as PCA, NNMF is able to estimate these factors with high precision even when dealing with highly sparse datasets. Moreover, as the term structure is represented as latent Factors that are better estimated using NNMF, it is possible to increase the forecasting accuracy of such factors using state of the art neural network architectures, such as, RNN and LTSM networks.

El seminario se llevará a cabo a las 13:00 horas en la sala T-1605 de la FEN, se solicita confirmar asistencia con Pamela Fuentes (pamfuent@fen.uchile.cl), a más tardar el día jueves 15 de noviembre hasta las 13:00 horas, ya que el seminario contempla almuerzo.

Quienes deseen inscribir presentaciones para futuras sesiones, por favor dirigirse a Joaquin Mayorga:jmayorga@fen.uchile.cl    

Saludos cordiales,

Dirección de Investigación FEN