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Exploiting the Self-Organizing Financial Stability Map

Peter Sarlin, Exploiting the Self-Organizing Financial Stability Map. In: Manuel Graña, Carlos Toro, Jorge Posada, Robert Howlett, Lakhmi Jain (Eds.), Proceedings of the 16th International Conference on Knowledge-Based and Intelligent Information & Engineering Systems (KES'12), 248–257, IOS Press, 2012.

Abstract:

This paper attempts to enhance the visualization and extraction of information on the Self-Organizing Financial Stability Map (SOFSM). The SOFSM uses the Self-organizing map to represent a multidimensional financial stability space on a two-dimensional grid and allows monitoring the financial stability cycle represented by four states. We enhance visualization and information extraction of the SOFSM by the means of four tasks: (1) fuzzification of the map, (2) probabilistic modeling of state transitions, (3) contagion analysis and (4) outlier detection. The usefulness of the extensions is shown with sample visualizations and predictive performance.

BibTeX entry:

@INPROCEEDINGS{inpSarlin_Peter12c,
  title = {Exploiting the Self-Organizing Financial Stability Map},
  booktitle = {Proceedings of the 16th International Conference on Knowledge-Based and Intelligent Information & Engineering Systems (KES'12)},
  author = {Sarlin, Peter},
  editor = {Graña, Manuel and Toro, Carlos and Posada, Jorge and Howlett, Robert and Jain, Lakhmi},
  publisher = {IOS Press},
  pages = {248–257},
  year = {2012},
  keywords = {financial crisis, Self-Organizing Financial Stability Map, fuzzification, transition probabilities, contagion, outlier detection},
}

Belongs to TUCS Research Unit(s): Data Mining and Knowledge Management Laboratory

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