Cascade correlation learning algorithm to predict mortgage prepayments

[ZENIOS@WILMA.WHARTON.UPENN.EDU]

The March issue of The Journal of Fixed Income published a paper on the
use of neural networks to predict mortgage prepayments. The precise reference
is listed below, and copies of the article can be obtained from

Marge Weiler, Decision Sciences Department, The Wharton School,
University of Pennsylvania, Philadelphia, PA 19104

(215)898-5872



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Y. Yamamoto and S.A. Zenios, Predicting prepayment rates for mortgage-backed
securities using the cascade-correlation learning algorithm, The Journal of
Fixed Income, Vol. 2(4), pp.86--96, March 1993.