| Term Structure of Interest Rates Based on Artificial Neural Network |
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| 引用本文： | 姜德峰 杜子平. Term Structure of Interest Rates Based on Artificial Neural Network[J]. 西南交通大学学报(英文版), 2007, 15(4): 338-343 |
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| 作者姓名： | 姜德峰 杜子平 |
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| 作者单位： | College of Economics and Management, Tianfin University of Science and Technology, Tianfin 300222, China |
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| 基金项目： | Foundation item National Natural Science Foundation of China （ No. 70471051 ＆ No. 70671074 ） |
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| 摘 要： | In light of the nonlinear approaching capability of artificial neural networks （ ANN）, the term structure of interest rates is predicted using The generalized regression neural network （GRNN） and back propagation （BP） neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek＇s model and Cox-Ingersoll-Ross （CIR） model. The comparison reveals that neural network models outperform Vasicek＇s model and CIR model, which are more precise and closer to the real market situation.
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| 关 键 词： | 神经网络 利率 期限结构 经济 |
| 文章编号： | 1005-2429（2007）04-0338-06 |
| 修稿时间： | 2006-09-21 |
Term Structure of Interest Rates Based on Artificial Neural Network |
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| JIANG De-feng,DU Zi-ping. Term Structure of Interest Rates Based on Artificial Neural Network[J]. Journal of Southwest Jiaotong University, 2007, 15(4): 338-343 |
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| Authors: | JIANG De-feng DU Zi-ping |
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| Affiliation: | College of Economics and Management,Tianjin University of Science and Technology,Tianjin,300222,China |
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| Abstract: | In light of the nonlinear approaching capability of artificial neural networks ( ANN), the term structure of interest rates is predicted using The generalized regression neural network (GRNN) and back propagation (BP) neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek's model and Cox-Ingersoll-Ross (CIR) model. The comparison reveals that neural network models outperform Vasicek's model and CIR model,which are more precise and closer to the real market situation. |
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| Keywords: | Neural network Interest rate Term structure Generalized regression neural network |
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