Robert Verner, Michal Tkáč, Michal Tkáč
Improving Quality of Long-Term Bond Price Prediction Using Artificial Neural Networks
Číslo: 1/2021
Periodikum: Quality Innovation Prosperity
DOI: 10.12776/qip.v25i1.1532
Klíčová slova: bond prices; neural networks; prediction; swaps; VIX
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Anotace:
Purpose: The aim of this paper is to propose nonlinear autoregressive neural network which can improve quality of bond price forecasting.
Methodology/Approach: Due to the complex nature of market information that influence bonds, artificial intelligence could be accurate, robust and fast choice of bond price prediction method.
Findings: Our results have reached a coefficient of determination higher than 95% in the training, validation and testing sets. Moreover, we proposed the nonlinear autoregressive network with external inputs using 50 year interest-rate swaps denominated in EUR and volatility index VIX as two external variables.
Research Limitation/Implication: Our sample of daily prices between 4th January 2016 and 13th January 2021 (totally 1,270 trading days) suggest that both Levenberg-Marquardt and Scaled conjugate gradient learning algorithms achieved excellent results.
Originality/Value of paper: Despite the fact that both learning algorithms achieved satisfying outcomes, implementation of an independent variable into the autoregressive neural network environment had no significant impact on prediction ability of the model.
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Methodology/Approach: Due to the complex nature of market information that influence bonds, artificial intelligence could be accurate, robust and fast choice of bond price prediction method.
Findings: Our results have reached a coefficient of determination higher than 95% in the training, validation and testing sets. Moreover, we proposed the nonlinear autoregressive network with external inputs using 50 year interest-rate swaps denominated in EUR and volatility index VIX as two external variables.
Research Limitation/Implication: Our sample of daily prices between 4th January 2016 and 13th January 2021 (totally 1,270 trading days) suggest that both Levenberg-Marquardt and Scaled conjugate gradient learning algorithms achieved excellent results.
Originality/Value of paper: Despite the fact that both learning algorithms achieved satisfying outcomes, implementation of an independent variable into the autoregressive neural network environment had no significant impact on prediction ability of the model.