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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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1 result for “LSTM-LagLasso”
Long short-term memory networks and laglasso for bond yield forecasting: Peeping inside the black boxq-fin.CP

LSTMs improve bond yield forecasting with unique signals.

problem Improving bond yield forecasting accuracy.
method Long short-term memory (LSTM) networks with sequence-to-sequence architectures and LSTM-LagLasso methodology.
result Univariate LSTM models with additional memory can achieve similar results as multivariate MLP models using exogenous information.
bond yield forecastinglong short-term memoryLSTM-LagLassoblack boxmemory advantage
2020-05-05abs ↗pdf ↗