Name
Title | ||
|---|---|---|
A comparison of multitask and single task learning with artificial neural networks for yield curve forecasting. |
Abstract | ||
|---|---|---|
•Novel use of neural networks and multitask learning for yield curve forecasting.•Multilayer perceptron using the most relevant features achieved the best results.•The most relevant features depend on target yield and forecasting horizon.•Synthetic data from linear regression model tends to improve forecasting accuracy.•Encouraging results for the development of robust forecasting systems for bond market. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1016/j.eswa.2018.11.012 | Expert Systems with Applications |
Keywords | Field | DocType |
Machine learning,Neural network,Multitask learning,Yield curve forecasting,Yield forecasting,Bond market | Data mining,Multi-task learning,Yield curve,Computer science,Bayesian multivariate linear regression,Synthetic data,Multilayer perceptron,Artificial intelligence,Univariate,Artificial neural network,Machine learning,Linear regression | Journal |
Volume | ISSN | Citations |
119 | 0957-4174 | 1 |
PageRank | References | Authors |
0.41 | 16 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Manuel Nunes | 1 | 1 | 0.41 |
| Enrico Gerding | 2 | 1 | 0.41 |
| Frank Mcgroarty | 3 | 35 | 5.98 |
| Mahesan Niranjan | 4 | 775 | 120.43 |