This is a summary of links featured on Quantocracy on Wednesday, 02/15/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Investigating Price Reaction Around Bitcoin & Ethereum Events [Quantpedia]Cryptocurrencies are a high-risk and very speculative asset class that, from being used only by tech geeks worldwide, spread from small retail craziness of early adopters to institutional adoption and mainstream. Some claim it to be a world-changing concept with the utilization of blockchain (databases) and smart contracts that open a wide range of opportunities, from decentralizing finance to
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Yield curve modeling [Quant Dare]The financial industry is constantly searching for models that can help accurately predict the behavior of interest rates. In this article we will explore one of the most widely used models for this purpose, the Nelson-Siegel (NS) model. What is the Nelson-Siegel Model? The NS model is a yield curve factor model. Yield curve factor models are based on the idea that the yield curve can be