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

DOI10.1134/S1064562423701521OpenAlexW4393142252MaRDI QIDQ6124385

P. P. Lukianchenko, G. A. Zotov

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

bifurcationcolored noisecatastropheVasicek modelstructural breakPELTchange-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)

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• An equilibrium characterization of the term structure
• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER

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