Using change-point detection to support artificial neural networks for interest rates forecasting

Kyong Jo Oh, Ingoo Han

Research output: Contribution to journalArticle

27 Citations (Scopus)

Abstract

Interest rates are one of the most closely watched variables in the economy. They have been studied by a number of researchers as they strongly affect other economic and financial parameters. Contrary to other chaotic financial data, the movement of interest rates has a series of change points owing to the monetary policy of the US government. The basic concept of this proposed model is to obtain intervals divided by change points, to identify them as change-point groups, and to use them in interest rates forecasting. The proposed model consists of three stages. The first stage is to detect successive change points in the interest rates dataset. The second stage is to forecast the change-point group with the backpropagation neural network (BPN). The final stage is to forecast the output with BPN. This study then examines the predictability of the integrated neural network model for interest rates forecasting using change-point detection.

Original languageEnglish
Pages (from-to)105-115
Number of pages11
JournalExpert Systems with Applications
Volume19
Issue number2
DOIs
Publication statusPublished - 2000 Aug

All Science Journal Classification (ASJC) codes

  • Engineering(all)
  • Computer Science Applications
  • Artificial Intelligence

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