Dataset information for paper:			"A Comparison of Multitask and Single Task Learning with Artificial Neural Networks for Yield Curve Forecasting"
Authors: 								Manuel Nunes, , Enrico Gerding, Frank McGroarty, Mahesan Niranjan


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Files included
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readme.txt								This readme file
fullDataBloombergInfo.xlsx				Excel file with all the information for downloading the dataset from a Bloomberg Professional terminal
fullDataBloombergInfo_AppendixA.pdf		Table A.1: Initial list of features selected from financial markets, macroeconomic and technical indicators
										Listed by Group, Subgroup, Ticker and Name


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Description
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Considering the information provided in file fullDataBloombergInfo.xlsx and using a Bloomberg Professional terminal, export Bloomberg data to Excel.
The resulting table is the full dataset used in this research.

Additionally, the file fullDataBloombergInfo_AppendixA.pdf is provided to complement the identification of the features used.
The calculated features are specified at the end of Appendix A Table. They are simple government bond yield spreads and simple moving averages.


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Additional information for downloading the dataset from a Bloomberg Professional terminal	
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Total number of initial features		159

Period:	
Start Date								31/12/1998
End Date								28/04/2017
Data frequency							daily

Bloomberg Fields to use with:
3M Euribor Fut							YLD_CNV_LAST
90day Euro$ Fut							YLD_CNV_LAST
All the other features					PX_LAST

Other Bloomberg options:	
										"Days=Weekdays"
										"Fill=P"