AAAI Publications, Twenty-Ninth AAAI Conference on Artificial Intelligence

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Predicting Peer-to-Peer Loan Rates Using Bayesian Non-Linear Regression
Zsolt Bitvai, Trevor Cohn

Last modified: 2015-02-19


Peer-to-peer lending is a new highly liquid market for debt, which is rapidly growing in popularity. Here we consider modelling market rates, developing a non-linear Gaussian Process regression method which incorporates both structured data and unstructured text from the loan application. We show that the peer-to-peer market is predictable, and identify a small set of key factors with high predictive power. Our approach outperforms baseline methods for predicting market rates, and generates substantial profit in a trading simulation.

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