This paper describes the main functionalities of an expert system devoted to long term interest rate forecasting. The rules are based on the reasoning of professionals. The interest of such a tool and relevance of expert system techniques are discussed. The development of a prototype was carried out to validate the approach. The conclusions of the confrontation between our rules and historical data are given. Beyond a decidability threshold, the proposed rules constitute a good predictive model.
AKOKA, J. and COMYN-WATTIAU, I. (1991). PTILOT : un système expert de prévision du taux d'intérêt à long terme. ESSEC Business School.