Publication
Type-2 Fuzzy Clustering and a Type-2 Fuzzy Inference Neural Network for the Prediction of Short-term Interest Rates
David Enke; Nijat Mehdiyev
In: Procedia Computer Science, Vol. 20, Pages 115-120, Elsevier, 2013.
Abstract
The following paper discusses the use of a hybrid model for the prediction of short-term US interest rates. The model consists of a differential evolution-based fuzzy type-2 clustering with a fuzzy type-2 inference neural network, after input preprocessing with multiple regression analysis. The model was applied to forecast the US 3- Month T-bill rates. Promising model performance was obtained as measured using root mean square error.