Data-Driven Duration Management -- Term Structure Forecasting Using Machine Learning

arXiv:2606.26815 · q-fin.PM, q-fin.CP, stat.ML · Submitted 2026-06-25 · Read on arXiv

Tobias Lausser, Joao Eduardo Vuolo, Rudi Zagst

q-fin.PM, q-fin.CP, stat.ML

Submitted: 2026-06-25

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

Accuracy — 28× in this paper · explained in 1 episode
Benchmark — 24× in this paper · explained in 2 episodes
Neural Network — 11× in this paper
Machine Learning — 9× in this paper
Consistency — 7× in this paper · explained in 3 episodes
Activation Function — 6× in this paper · explained in 1 episode
European Central Bank — 5× in this paper
Principal Component Analysis — 4× in this paper
Bayesian Optimization — 3× in this paper · explained in 3 episodes
Dynamic Nelson-Siegel — 3× in this paper
Interpretability — 3× in this paper · explained in 15 episodes
Principal Component Analysis (PCA) — 3× in this paper · explained in 4 episodes
Robustness — 3× in this paper · explained in 5 episodes
Mean Squared Error — 2× in this paper
Ordinary Least Squares — 2× in this paper
Adaptation — 1× in this paper · explained in 1 episode
Arbitrage-Free Nelson-Siegel — 1× in this paper
Bayesian Optimization (BO) — 1× in this paper · explained in 3 episodes
Core — 1× in this paper · explained in 2 episodes
Feature Selection — 1× in this paper · explained in 4 episodes
Hybrid Approach — 1× in this paper · explained in 4 episodes
Information Ratio — 1× in this paper
Initial Data — 1× in this paper · explained in 2 episodes
Kalman Filter — 1× in this paper
Latent Representation — 1× in this paper · explained in 2 episodes
Multi-Task Learning — 1× in this paper
Sample Efficiency — 1× in this paper · explained in 4 episodes
Time Series Forecasting — 1× in this paper · explained in 3 episodes

Sources

Validation of machine learning based scenario generators

Terminology

Sources

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