Categories: Machine learning
Do Macro Variables Help Forecast the Yield Curve? Three Honest Experiments
A follow-up to the yield-curve forecasting post. I add inflation, the repo rate, the rand and the VIX to the forecasts in three wa...
Forecasting South African Government Bond Yields
I raced about twenty forecasting models against each other on SA government bond yield buckets, and the humble random walk turned ...
ML-Driven TFSA ETF Portfolio Optimization for EE
I built a LightGBM pipeline to pick ETFs for my EE TFSA and it beats the JSE Top 40 by 6–9% annualised. Over-engineered retirement...
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