Self-Organizing map analysis of agents’ expectations. Different patterns of anticipation of the 2008 financial crisis

By means of Self-Organizing Maps we cluster fourteen European countries according to the most suitable way to model their agents’ expectations. Using the financial crisis of 2008 as a benchmark, we distinguish between those countries that show a progressive anticipation of the crisis and those where sudden changes in expectations occur. By mapping the trajectory of economic experts’ expectations prior to the recession we find that when there are brisk changes in expectations before impending shocks, Artificial Neural Networks are more suitable than time series models for modelling expectations. Conversely, in countries where expectations show a smooth transition towards recession, ARIMA models show the best forecasting performance. This result demonstrates the usefulness of clustering techniques for selecting the most appropriate method to model and forecast expectations according to their behaviour

A Two-stage Architecture for Stock Price Forecasting by Integrating Self-Organizing Map and Support Vector Regression

Stock price prediction has attracted much attention from both practitioners and researchers. However, most studies in this area ignored the non-stationary nature of stock price series. That is, stock price series do not exhibit identical statistical properties at each point of time. As a result, the relationships between stock price series and their predictors are quite dynamic. It is challenging for any single artificial technique to effectively address this problematic characteristics in stock price series. One potential solution is to hybridize different artificial techniques. Towards this end, this study employs a two-stage architecture for better stock price prediction. Specifically, the self-organizing map (SOM) is first used to decompose the whole input space into regions where data points with similar statistical distributions are grouped together, so as to contain and capture the non-stationary property of financial series. After decomposing heterogeneous data points into several homogenous regions, support vector regression (SVR) is applied to forecast financial indices. The proposed technique is empirically tested using stock price series from seven major financial markets. The results show that the performance of stock price prediction can be significantly enhanced by using the two-stage architecture in comparison with a single SVR model

A self-organizing map analysis of survey-based agents expectations before impending shocks for model selection: the case of the 2008 financial crisis

© . This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/This paper examines the role of clustering techniques to assist in the selection of the most indicated method to model survey-based expectations. First, relying on a Self-Organizing Map (SOM) analysis and using the financial crisis of 2008 as a benchmark, we distinguish between countries that show a progressive anticipation of the crisis, and countries where sudden changes in expectations occur. We then generate predictions of survey indicators, which are usually used as explanatory variables in econometric models. We compare the forecasting performance of a multi-layer perceptron (MLP) Artificial Neural Network (ANN) model to that of three different time series models. By combining both types of analysis, we find that ANN models outperform time series models in countries in which the evolution of expectations shows brisk changes before impending shocks. Conversely, in countries where expectations follow a smooth transition towards recession, autoregressive integrated moving-average (ARIMA) models outperform neural networks.Peer ReviewedPostprint (published version

A self-organizing map analysis of survey-based agents' expectations before impending shocks for model selection: The case of the 2008 financial crisis

This paper examines the role of clustering techniques to assist in the selection of the most indicated method to model survey-based expectations. First, relying on a Self-Organizing Map (SOM) analysis and using the financial crisis of 2008 as a benchmark, we distinguish between countries that show a progressive anticipation of the crisis, and countries where sudden changes in expectations occur. We then generate predictions of survey indicators, which are usually used as explanatory variables in econometric models. We compare the forecasting performance of a multi-layer perceptron (MLP) Artificial Neural Network (ANN) model to that of three different time series models. By combining both types of analysis, we find that ANN models outperform time series models in countries in which the evolution of expectations shows brisk changes before impending shocks. Conversely, in countries where expectations follow a smooth transition towards recession, autoregressive integrated moving-average (ARIMA) models outperform neural networks

Three essays on the use of neural networks for financial prediction

The number of studies trying to explain the causes and consequences of the economic and financial crises usually rises considerably after a banking crisis occurs. The dramatic effects of the most recent financial crisis on the real economy around the world call for a better comprehension of previous crises as a way to anticipate future crisis episodes. It is precisely this objective, preventing future crises, the main motivation of this PhD dissertation. We identify two important mechanisms that have failed during the latest years and that are closely related to the onset of the financial crisis: The assessment of the solvency of banks along with the systemic risk over the time, and the detection of the macroeconomic imbalances in some countries, especially in Europe, which made the financial crisis evolve through a sovereign crisis. Our dissertation is made up of three different essays, trying to go a step ahead in the knowledge of these mechanisms.Departamento de Economía Financiera y ContabilidadDoctorado en Economía de la Empres

The relationship between phonological awareness time and reading abilities: an assessment using self-organizing maps

Background: Classically, the assessment of reading disabilities is based on the accuracy for word and nonword reading, as well as on the accuracy or sensibility measures (such as d') for phonological awareness tasks. Recent studies indicate that in terms of phonological awareness results, the response time is a more accurate indicator than sensibility measures (such as d'), thus providing an important measure explaining some of the differences between good and poor readers. This article explores the discriminative capability of phonological awareness task time (PATT) in reading disability assessment. Methods: One hundred and eighty-six children were tested using conventional tasks, specifically word reading, nonword reading, and phonological awareness tasks. The word and nonword accuracy and PATT were used to train self-organizing maps (SOM) to classify children into three distinct groups. Results: Phonological awareness response time provides a powerful discriminative measure. Conclusions: Our results indicate that the PATT constitutes a useful selective measure, particularly in the third and fourth grades when classical variables such as word and nonword reading accuracy lose their discriminative capabilities. Also, the use of SOM to classify children's reading abilities can successfully categorize children and capture meaningful measures such as the lexicality effect.(undefined

Decision Model for Predicting Social Vulnerability Using Artificial Intelligence

The APC was funded by their authors.Social vulnerability, from a socio-environmental point of view, focuses on the identification of disadvantaged or vulnerable groups and the conditions and dynamics of the environments in which they live. To understand this issue, it is important to identify the factors that explain the difficulty of facing situations with a social disadvantage. Due to its complexity and multidimensionality, it is not always easy to point out the social groups and urban areas affected. This research aimed to assess the connection between certain dimensions of social vulnerability and its urban and dwelling context as a fundamental framework in which it occurs using a decision model useful for the planning of social and urban actions. For this purpose, a holistic approximation was carried out on the census and demographic data commonly used in this type of study, proposing the construction of (i) a knowledge model based on Artificial Neural Networks (Self-Organizing Map), with which a demographic profile is identified and characterized whose indicators point to a presence of social vulnerability, and (ii) a predictive model of such a profile based on rules from dwelling variables constructed by conditional inference trees. These models, in combination with Geographic Information Systems, make a decision model feasible for the prediction of social vulnerability based on housing information.This research was funded by the University of Granada, grant number PP2016-PIP0

An Overview of the Use of Neural Networks for Data Mining Tasks

In the recent years the area of data mining has experienced a considerable demand for technologies that extract knowledge from large and complex data sources. There is a substantial commercial interest as well as research investigations in the area that aim to develop new and improved approaches for extracting information, relationships, and patterns from datasets. Artificial Neural Networks (NN) are popular biologically inspired intelligent methodologies, whose classification, prediction and pattern recognition capabilities have been utilised successfully in many areas, including science, engineering, medicine, business, banking, telecommunication, and many other fields. This paper highlights from a data mining perspective the implementation of NN, using supervised and unsupervised learning, for pattern recognition, classification, prediction and cluster analysis, and focuses the discussion on their usage in bioinformatics and financial data analysis tasks