The Empirical Studies of the Term Structure of Interest Rates Based on BP and RBF Neural Network
会议名称：《2011 Chinese Control and Decision Conference（CCDC）》
会议日期：2011年
学科分类：02[经济学] 0202[经济学-应用经济学] 0201[经济学-理论经济学] 020204[经济学-金融学（含∶保险学）] 020203[经济学-财政学（含∶税收学）] 020101[经济学-政治经济学]
基 金：supported in part by National Natural Science Foundation of China Grant No.70701003 the Fundamental Research Funs for the Central Universities Grant No.ZZ1017 discipline construction project of Beijing University of Chemical Technology
关 键 词：term structure of interest rates BP Neural Network RBF Neural Network parameter analysis
摘 要：The term structure of interest rates is a basic problem in financial *** in the process of Chinese marketization of interest rates,research on the term structure of interest rates has very important theoretical and practical significance to the development and improvement of Chinese financial *** this paper,we take advantage of faster learning speed,stronger capability of adaptability and numerical approximation of neural network characteristics to make the empirical analysis on the 14 group data selected from the Shanghai Security Exchange Market of Government Bonds traded on 12-Feb-2010 by means of BP and RBF neural network *** results show that neural network has higher accuracy in predicting yields of government bonds,and calibration of parameters can affect the accuracy of network to some extent.