한국경영과학회:학술대회논문집 (Proceedings of the Korean Operations and Management Science Society Conference)
- 대한산업공학회/한국경영과학회 1996년도 춘계공동학술대회논문집; 공군사관학교, 청주; 26-27 Apr. 1996
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- Pages.741-744
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- 1996
The prediction of interest rate using artificial neural network models
- Hong, Taeho (Graduate school of management, KAIST) ;
- Han, Ingoo (Graduate school of management, KAIST)
- 발행 : 1996.04.01
초록
Artifical Neural Network(ANN) models were used for forecasting interest rate as a new methodology, which has proven itself successful in financial domain. This research intended to construct ANN models which can maximize the performance of prediction, regarding Corporate Bond Yield (CBY) as interest rate. Synergistic Market Analysis (SMA) was applied to the construction of models [Freedman et al.]. In this aspect, while the models which consist of only time series data for corporate bond yield were devloped, the other models generated through conjunction and reorganization of fundamental variables and market variables were developed. Every model was constructed to predict 1,6, and 12 months after and we obtained 9 ANN models for interest rate forecasting. Multi-layer perceptron networks using backpropagation algorithm showed good performance in the prediction for 1 and 6 months after.
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