The empirical studies of the term structure of interest rates based on BP and RBF neural network

Abstract In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and when the Macaulay duration concept happens to be a good approximation of a bond’s price sensitivity. We are concerned with the basic immunization problem with a single liability to be discharged at a future time q. Our idea is to divide the class K of all shifts a(t) of a term structure of interest rates s(t) into many classes and then to find a sufficient and necessary condition a given bond portfolio, dependent on a class of shifts, must satisfy to secure immunization at time q against all shifts a(t) from that class. For this purpose, we introduce the notions of dedicated duration and dedicated convexity. For each class of shifts, we show how to choose from a bond market under consideration a portfolio with maximal dedicated convexity among all immunizing portfolios. We demonstrate that the portfolio yields the maximal unanticipated rate of return and appears to be uniquely determined as a barbell strategy (portfolio) built up with 2 zero-coupon bearing bonds with maximal and respective minimal dedicated durations. Finally, an open problem addressed to researchers performing empirical studies is formulated.

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Forecasting the Acquisition of University Spin-Outs: An RBF Neural Network Approach

Complexity ◽

10.1155/2017/6920904 ◽

2017 ◽

Vol 2017 ◽

pp. 1-8 ◽

Cited By ~ 3

Author(s):

Weiwei Liu ◽

Zhile Yang ◽

Kexin Bi

Keyword(s):

Neural Network ◽

Rbf Neural Network ◽

Empirical Studies ◽

The Novel ◽

Neural Network Approach ◽

Positive Effects ◽

Sample Data ◽

Transfer Channel ◽

Negative Effect ◽

Average Distribution

University spin-outs (USOs), creating businesses from university intellectual property, are a relatively common phenomena. As a knowledge transfer channel, the spin-out business model is attracting extensive attention. In this paper, the impacts of six equities on the acquisition of USOs, including founders, university, banks, business angels, venture capitals, and other equity, are comprehensively analyzed based on theoretical and empirical studies. Firstly, the average distribution of spin-out equity at formation is calculated based on the sample data of 350 UK USOs. According to this distribution, a radial basis function (RBF) neural network (NN) model is employed to forecast the effects of each equity on the acquisition. To improve the classification accuracy, the novel set-membership method is adopted in the training process of the RBF NN. Furthermore, a simulation test is carried out to measure the effects of six equities on the acquisition of USOs. The simulation results show that the increase of university’s equity has a negative effect on the acquisition of USOs, whereas the increase of remaining five equities has positive effects. Finally, three suggestions are provided to promote the development and growth of USOs.

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Stock And Bond Price Dynamics-Evidence From An Emerging Economy

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v10i9.5630 ◽

2011 ◽

Vol 10 (9) ◽

pp. 93

Author(s):

M. Venkateshwarlu ◽

T. Ramesh Babu

Keyword(s):

Interest Rates ◽

Stock Returns ◽

Term Structure ◽

Stock Prices ◽

Empirical Studies ◽

Bond Markets ◽

Bond Price ◽

Short Term ◽

Bond Prices

The motivation for this study is that real stock prices are observed to overreact to changes in interest rates. The real stock prices drop when long-term interest rates rise. It has been observed that bonds and stock prices are typically studied in isolation. The present paper attempts to analyze the dynamic linkages between stock and bond prices in India. One of the important contributions of this study is that in India, very little/almost no work has been done to understand the dynamics of the stock and bond prices after the recent recession. The present study examined the bivariate causal relationship between stock prices and bond prices. In the long term; i.e., periods from 2004 to 2007 and 2008 to 2009, there is no causality from stock market to bond market and vice versa. However, it is found that the bond and stock prices had a bivariate causality in the year 2009 and univariate causality in 2010. The results are interesting and support the view that excess volatility causes granger between the stock and bond markets. This can be inferred as a result of recession investors moving to bond markets and after the signs of recovery the investors might be returning to the stock markets. It is also evident that short-term interest rates have power to forecast short-term stock returns and risk premiums on observation of co-movement between stock and bond prices. This is reiterated by many empirical studies that have shown that the term structure of nominal interest rates contains information potentially useful for the conduct of monetary policy.

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