Classification of interest rate curves using Self-Organising Maps

Details Classification of interest rate curves using Self-Organising Maps Classification of interest rate curves using Self-Organising Maps

2007-09-27

arxiv.org/abs/0709.4401v1

Physics

Data Analysis, Statistics and Probability

Presented at Applications of Physics in Financial Analysis conference (APFA6), Lisbon, Portugal

Scientific paper

The present study deals with the analysis and classification of interest rate curves. Interest rate curves (IRC) are the basic financial curves in many different fields of economics and finance. They are extremely important tools in banking and financial risk management problems. Interest rates depend on time and maturity which defines term structure of the interest rate curves. IRC are composed of interest rates at different maturities (usually fixed number) which move coherently in time. In the present study machine learning algorithms, namely Self-Organising maps - SOM (Kohonen maps), are used to find clusters and to classify Swiss franc (CHF) interest rate curves.

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