Dissertation > Excellent graduate degree dissertation topics show

Study of CHIBOR Forecasting Model Based on Wavelet-Chaos Theory

Author: WangShuang
Tutor: ZengHua
School: Northeastern University
Course: Finance
Keywords: CHIBOR forecasting time series wavelet chaos theory
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 53
Quote: 0
Read: Download Dissertation

Abstract


Interest rate always is the focus in the economic research,for that is one of the most basic economic variables in the national economy, especially, the description and prediction of short-term interest rates is a hot issue being researched. In our current monetary system, the interbank borrowing market is the first to achieve market-oriented interest rates, the interests in which is called China Interbank Offered Rate(CHIBOR). CHIBOR can reflect the money supply and demand effectively and sensitively, the term structure of CHIBOR is nearly reasonable can be used as a benchmark for money market. The study on the future fluctuating trend of China Interbank Offered Rate(CHIBOR) can help the commercial banks and financial institutions to adjust the structure of assets and liabilities and to control and manage interest-rate risk properly, also can assist the central bank to judge the future trend of financial markets, in order to take correct measures to guide interest rates, that the monetary policy can work effectively. The research of the future fluctuating trend is start early, Since the eighties of last century, some more prominent theory and method have developed rapidly in the research of the trends of financial time series such as wavelet analysis and chaos theory, and made some great achievement. However, the predict tools and methods for CHIBOR have many deficiencies and shortcomings from theory to practice in our country. Therefore, the study of CHIBOR forecasting is of great significance in practice.This paper tests and analyzes CHIBOR time series, combines wavelet theory and chaos theory to establish "Predicting model based on Wavelet-Chaos Theory" according to representative indicators, then uses this model to make the forecast based on the data of overnight call rate between 2004 and 2010. Throuth comparing the predicted value with the actual data, we see the effect of fitting is satisfactory, that proves the model presented in this paper is valid and practical.There are five chapters in this paper. The first chapter is the introduction; the second chapter gives the overview of CHIBOR, Time series, Wavelet and Chaos theory related; China Interbank Offered Rate(CHIBOR) is tested and analyzed in the third chapter; in the forth chapter the "Predicting model based on Wavelet-Chaos Theory" is established; in the fifth chapter the forecast is made based on the "Predicting model based on Wavelet-Chaos Theory"; conclusion and outlook is made in the last chapter of the paper.

Related Dissertations

  1. Research on Electromagnetic Acoustic Transducer Detection System Based on FPGA,TH878.2
  2. Signal Detection Circuit Design for Slow-Light Optic Fiber Gyroscope,V241.5
  3. Crop Evapotranspiration Study on Evolution Rule and Forecast Model in Chaoyang Area,S161.4
  4. Based on Data Mining Technologies in Urban Water Supply Analysis and Decision,F299.24;F224
  5. Research of Watermarking Algorithm for Color Code Image,TP309.7
  6. Time Series PS-InSAR Using Small Data Set and Its Application to Surface Subsidence,P642.26
  7. Time Series Nonlinear Analysis and Its Application,S11
  8. Based on Lifting Scheme Wavelet Packet Transform and Artificial Neural Network Wing-box Multi-damage Detection,V224
  9. The Study on the Analysis and Estimated Model of Mining Surface Deformation Based on Chaotic Support Vector Machine Algorithm,TD325
  10. The Empirical Analysis of China’s GDP Time Series Based on Structural Breaks Theory,F124
  11. Financial Index Forecast Based on Data Mining,F830
  12. A Long-term Forecasting Model for Chaotic Time Series,O415.5
  13. The Research on Key Technologies for Web Information Personalization Collection and Management,TP393.09
  14. Chaotic Digital Image Encryption Algorithm,TP309.7
  15. Offshore Ecological Environment Multiparameter Monitoring and Analysis Research,X830
  16. The Research of Markov Switching Cointegration Model,F224
  17. Interaction on the Amygdala Activation Between Personal Familiarity and Fear Expression in Face Perception: An fMRI Study,R445.2
  18. The Research and Design of a Fire Detection System Based on Combustion Audio Recognition,X924.4
  19. The Research of Speech Coding Based on Compressed Sensing,TN912.3
  20. Research of Information Fusion and Enhancement of Multi-Source Image,TP391.41
  21. The Image Quality Assessment Technique Based on SVM and HVS,TP391.41

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile