Alexander Sokol, CompatibL’s founder and head of quant research, sat down with Eugene Grygo of the Financial Technologies Forum (FTF) to talk about how trading and risk models are getting an exponential boost from machine learning.

The podcast covers:

  • What a variational autoencoder (VAE) is and how CompatibL’s Autoencoder Market Models (AEMM) work
  • How machine learning-enabled models might help with interest rate portfolios, managing limits and add-ons, as well as credit exposure concerns
  • How cloud computing and the push for digital transformations are helping to advance autoencoder-based models

Click here to listen to the podcast.

About the Financial Technologies Forum

Founded in 2006, the Financial Technologies Forum is a women-owned media company focused on delivering news, other useful content, premier conferences, interactive webinars, podcasts, live stream discussions, and a variety of special events for the professionals that make capital markets work.

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Autoencoder Market Models Paper: Now Available on SSRN
Alexander Sokol’s working paper “Autoencoder Market Models for Interest Rates” has been published on SSRN. Click the button below to get the full version of the paper and learn more about the new type of interest rate models based on machine learning.

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