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Prediction of US 30-years-treasury-bonds mouvement and trading entry point using Robust 1DCNN-BiLSTM-XGBoost algorithm
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  • Abdellah EL ZAAR,
  • Nabil BENAYA,
  • Toufik BAKIR,
  • Amine MANSOURI,
  • Abderrahim EL ALLATI
Abdellah EL ZAAR
Universite Abdelmalek Essaadi Departement de Physique

Corresponding Author:abdellah.elzaar@etu.uae.ac.ma

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Nabil BENAYA
Universite Abdelmalek Essaadi Departement de Physique
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Toufik BAKIR
Universite de Bourgogne
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Amine MANSOURI
Universite de Bourgogne
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Abderrahim EL ALLATI
Universite Abdelmalek Essaadi Departement de Physique
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Abstract

This paper proposes a novel algorithm that accurately predicts market trends and trading entry points for US 30-year-treasury bonds using a hybrid approach of 1-Dimensional Convolutional Neural Network (1DCNN), Long-Short Term Memory (LSTM), and XGBoost algorithms. We compared the performance of various strategies using 1DCNN and LSTM and found that existing state-of-the-art methods based on LSTM have excellent results in market movement prediction tasks, but the effectiveness of 1DCNN and LSTM in terms of trading entry point and market perturbations has not been studied thoroughly. We demonstrate, through experiments that our proposed 1DCNN-BiLSTM-XGBoost algorithm combined with moving averages crossover effectively mitigates noise and market perturbations, leading to high accuracy in spotting trading entry points and trend signals for US 30-year-treasury-bonds. Our experimental study shows that the proposed approach achieves an average of 0.0001% Root Mean Squared Error and 100% R-Square, making it a promising method for predicting the market trends and trading entry points.
06 Apr 2023Submitted to Expert Systems
06 Apr 2023Submission Checks Completed
06 Apr 2023Assigned to Editor
13 Apr 2023Reviewer(s) Assigned
27 May 2023Review(s) Completed, Editorial Evaluation Pending
01 Jun 2023Editorial Decision: Revise Major
29 Jun 20231st Revision Received
03 Jul 2023Submission Checks Completed
03 Jul 2023Assigned to Editor
06 Jul 2023Reviewer(s) Assigned
31 Jul 2023Review(s) Completed, Editorial Evaluation Pending
08 Aug 2023Editorial Decision: Revise Minor
25 Aug 20232nd Revision Received
28 Aug 2023Submission Checks Completed
28 Aug 2023Assigned to Editor
05 Sep 2023Reviewer(s) Assigned
08 Sep 2023Review(s) Completed, Editorial Evaluation Pending
10 Sep 2023Editorial Decision: Accept