This is a summary of links featured on Quantocracy on Saturday, 02/03/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to do interest rate analysis with multi-factor models [PyQuant News]Interest rates are the driving force behind the economy. They influence everything from the cost of purchasing a home to a companys decision on capital investments. Quants model how interest rate changes impact portfolios using principal component analysis (PCA). (They also do it for stock portfolios!) In todays newsletter, well look at how interest rate movements can be broken down.