Interest rates mapping
Détails
ID Serval
serval:BIB_EC13F1FCADFE
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Interest rates mapping
Périodique
Physica A - Statistical Mechanics and its Applications
ISSN-L
0378-4371
Statut éditorial
Publié
Date de publication
2008
Peer-reviewed
Oui
Volume
387
Pages
3897-3903
Langue
anglais
Notes
Applications of Physics in Financial Analysis - Selected papers from the 6th International Conference 'Applications of Physics in Financial Analysis' (APFA6), Lisbon, Portugal, 4-7 July 2007
Résumé
The present study deals with the analysis and mapping of Swiss franc
interest rates. Interest rates depend on time and maturity, defining
term structure of the interest rate curves (IRC). In the present study
IRC are considered in a two-dimensional feature space - time and
maturity. Exploratory data analysis includes a variety of tools widely
used in econophysics and geostatistics. Geostatistical models and
machine learning algorithms (multilayer perceptron and Support Vector
Machines) were applied to produce interest rate maps. IR maps can be
used for the visualisation and pattern perception purposes, to develop
and to explore economical hypotheses, to produce dynamic asset-liability
simulations and for financial risk assessments. The feasibility of an
application of interest rates mapping approach for the IRC forecasting
is considered as well. (C) 2008 Elsevier B.V. All rights reserved.
interest rates. Interest rates depend on time and maturity, defining
term structure of the interest rate curves (IRC). In the present study
IRC are considered in a two-dimensional feature space - time and
maturity. Exploratory data analysis includes a variety of tools widely
used in econophysics and geostatistics. Geostatistical models and
machine learning algorithms (multilayer perceptron and Support Vector
Machines) were applied to produce interest rate maps. IR maps can be
used for the visualisation and pattern perception purposes, to develop
and to explore economical hypotheses, to produce dynamic asset-liability
simulations and for financial risk assessments. The feasibility of an
application of interest rates mapping approach for the IRC forecasting
is considered as well. (C) 2008 Elsevier B.V. All rights reserved.
Création de la notice
07/10/2012 16:53
Dernière modification de la notice
20/08/2019 17:14
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