Interest rates mapping

M. Kanevski, M. Maignan, A. Pozdnoukhov and V. Timonin

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 15, 3897-3903

Abstract: 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.

Keywords: Interest rate curves; Spatial statistics; Machine learning; Mapping; Forecasting (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:15:p:3897-3903

DOI: 10.1016/j.physa.2008.02.069

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