The yield curve is the centrepiece in bond markets, a massive asset class with an overall size of USD100 trillion that remains relatively under-investigated using machine learning. This paper is the first comprehensive study using artificial neural networks in the context of yield curve...

The importance of bond markets in the financial industry stems from its dimension, its direct relevance for other asset classes and for the overall economy. In this paper, we conduct the first study of bond yield forecasting using deep learning long short-term memory (LSTM) networks, validating...