NDLI: Financial crisis and global market couplings

Content Provider	IEEE Xplore Digital Library
Author	Wei Cao Demazeau, Y. Longbing Cao Weidong Zhu
Copyright Year	2015
Description	Author affiliation: Sch. of Econ., HeFei Univ. of Technol., HeFei, China (Weidong Zhu) \|\| Adv. Analytics Inst., Univ. of Technol., Sydney, NSW, Australia (Wei Cao; Longbing Cao) \|\| Centre Nat. de la Rech. Sci., Lab. d'Inf. de Grenoble, Grenoble, France (Demazeau, Y.)
Abstract	The global financial crisis occurred in 2007 and its severe damaging consequences on other global financial markets, show the great importance of understanding the impact and contagion between different financial markets. A variety of methods have been proposed and implemented on market contagion. However, most of the existing literature simply test the existence of market contagion in financial crisis, and there is limited work go deep to investigate the complex market couplings which are the essence of market contagion. This is indeed very difficult as it involves the selection of discriminative indicators, the different types of couplings (intra-market coupling, inter-market coupling), the hidden characteristic of couplings, and the evaluation of market couplings in understanding crisis. To address these issues, this paper proposes a CHMM-LR framework to investigate the relations between financial crisis and three pairwise market couplings from three typical global financial markets: Equity market, Commodity market and Interest market. We adopt Coupled Hidden Markov Model (CHMM) to capture the complex hidden pairwise market couplings, and the financial crisis forecasting abilities based on different pairwise market couplings are imported to measure the relations by Logistic Regression (LR). Experiments of real financial data during the period 1990 to 2010 show the advantages of market couplings in understanding crisis. In addition, the experimental results provide crucial interpretation for the 2008 global financial crisis periods identification.
Sponsorship	IEEE Comput. Intell. Soc.
Starting Page	1
Ending Page	10
File Size	3733730
Page Count	10
File Format	PDF
ISBN	9781467382724
DOI	10.1109/DSAA.2015.7344854
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2015-10-19
Publisher Place	France
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Couplings Training Hidden Markov models Globalization Predictive models Indexes Forecasting
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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