2007/09/27 by Mikhaïl Kanevski, M. Kanevski, M. Maignan +3
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Stochastic processes and financial applications #physics.data-an #q-fin.ST
paper · pdf · doi:10.1016/j.physa.2008.02.069
8 pages, 8 figures. Presented at Applications of Physics in Financial Analysis conference (APFA6), Lisbon, Portugal, 2006
arxiv created 2007/09/27 · openalex publication_date 2008/03/05 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a two-dimensional feature space - time and maturity. Geostatistical models and machine learning algorithms (multilayer perceptron and Support Vector Machines) were applied to produce interest rate maps. IR maps can be used for the visualisation and patterns perception purposes, to develop and to explore economical hypotheses, to produce dynamic asses-liability simulations and for the financial risk assessments. The feasibility of an application of interest rates mapping approach for the IRC forecasting is considered as well.