Predicting Liquidity-Aware Bond Yields using Causal GANs and Deep Reinforcement Learning with LLM Evaluation
“In this paper, we propose a novel framework that leverages Causal Generative Adversarial Networks (CausalGANs) and Soft Actor-Critic (SAC) reinforcement learning (RL) to generate high-fidelity synthetic bond yield data for four major bond categories (AAA, BAA, US10Y, Junk).”
AssetBonds and creditbonds
StrategyNews sentimentmacro signals
TechniqueLarge language modelreinforcement learning
ClaimProfit
Also stated: Macro, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
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