CompatibL is proud to announce that Autoencoder Market Models for Interest Rates have been recognized as Best Modelling Innovation at Risk Markets Technology Awards 2023.

Alexander Sokol, Founder and Head of Quant Research at CompatibL, said:

“I’m honored to accept the Risk Markets Technology Award for Best Modelling Innovation. Machine learning is a transformative new technology that drives innovation in many areas of capital markets. This award recognizes CompatibL’s development of a new category of quant models based on machine learning. We call them Autoencoder Market Models. These new models are trained on historical data to produce unbiased pricing and risk management, free of the subjective choices and simplified equations of traditional models. We would like to thank Risk for this award, which encourages us to keep innovating.”

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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.

CompatibL’s Autoencoder Market Models are open source and are freely available to the capital markets community. Please contact us and we will guide you through how to best implement the models in your particular case.

About Risk Markets Technology Awards

The Risk Markets Technology Awards is one the longest-running and most prestigious awards programs for firms and individuals involved in risk management. It focuses on market risk, trading, and investment risk technologies. The program is operated by Risk magazine, which, in its 35th year, stands as the longest-running and most respected source of news and analysis covering the financial industry, with a particular focus on risk management, derivatives, and complex finance.

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