Neural network approach to the problem of predicting interest rate anomalies under the influence of correlated noise

DOI10.1134/S1064562423701521MaRDI QIDQ6124385zbMATH OpenOpenAlexFDO

Authors G. A. Zotov, P. P. Lukianchenko

Publication date 27 March 2024

Published in Doklady Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1064562423701521

zbMATH Keywords

PELTstructural breakbifurcationcolored noisecatastropheVasicek modelchange-points detection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Artificial neural networks and deep learning (68T07) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Study of the dynamics of the interest rate swap using machine learning methods
• DEVELOPING TIME-BASED CLUSTERING NEURAL NETWORKS TO USE CHANGE-POINT DETECTION: APPLICATION TO FINANCIAL TIME SERIES
• Improving prediction of neural networks: a study of two financial prediction tasks
• scientific article; zbMATH DE number 1304900

Cites work

• scientific article; zbMATH DE number 51561 (Why is no real title available?)
• An equilibrium characterization of the term structure
• Catastrophes in Brownian motion
• Colored Noise in Dynamical Systems
• Deep learning for finance: deep portfolios
• Detection of abrupt changes: theory and application
• Detection of multiple change-points in multivariate time series
• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
• New methods in fixed income modeling. Fixed income modeling
• Numerical solution of stochastic differential equations in finance
• Optimal detection of changepoints with a linear computational cost
• PINK NOISE, 1/f^αNOISE, AND THEIR EFFECT ON SOLUTIONS OF DIFFERENTIAL EQUATIONS
• Parametric statistical change point analysis. With applications to genetics, medicine, and finance
• Terminal invariance of jump diffusions

This page was built for publication: Neural network approach to the problem of predicting interest rate anomalies under the influence of correlated noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6124385)