LAUSR

Interbank offer rate is the interest rate at which banks lend money to each other in the money market. As a market-oriented core interest rate, Shibor can accurately and timely reflect the capital supply and demand relationship in the money market, and its changes will quickly transmit and affect China’s financial market. Therefore, the purpose of this paper is to predict and study the fluctuation and trend of Shibor. In this paper, the overnight varieties of Shibor were studied and predicted from two time dimensions, namely, daily fluctuation and monthly trend. In the prediction of overnight Shibor daily data, a comparison prediction model based on BP neural network algorithm was first established, and then WNN was applied in the prediction, and the effect was found to be better. When predicting the monthly mean value of overnight Shibor, nine indicators were selected and tested for correlation based on the factors affecting the trend of interest rate, and a regression model of support vector machine was established. Particle swarm optimization algorithm was used to improve the SVR algorithm, and the PSO-SVR prediction model was established to improve the prediction accuracy. The model could basically predict the trend of overnight Shibor. Furthermore, a prediction model of WNN based on cuckoo search (CS) optimization was proposed, which improved the prediction accuracy by 78% and fitted the daily fluctuation of overnight Shibor well.