Building Intelligence into Credit Bond Pricing

Tradeweb Markets Mathematics, 2018-19

Liaison(s): Mike Jia, Justin Peterson ’85
Advisor(s): Andrew J. Bernoff
Students(s): Herrick Fang, Hemeng “Maggie” Li (PM), Chudan “Ivy” Liu, Danny K. Liu, William X. Meng

The Harvey Mudd Tradeweb Clinic team is finding insights to systematically decompose and upgrade Tradeweb’s complex, rules-based corporate bond pricing engine into a machine learning-based engine. The task of this project is to help Tradeweb to improve its corporate bond pricing accuracy by identifying and developing effective machine learning models that can automatically tune the algorithms and parameters of its pricing engine.