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Decomposing the Global Financial Crisis: A Self-Organizing Time Map

Peter Sarlin, Decomposing the Global Financial Crisis: A Self-Organizing Time Map. Pattern Recognition Letters 34, 1701–1709, 2013.

http://dx.doi.org/10.1016/j.patrec.2013.03.017

Abstract:

A key starting point for financial stability surveillance is understanding past, current and possible future risks and vulnerabilities. Through temporal data and dimensionality reduction, or visual dynamic clustering, this paper aims to present a holistic view of cross-sectional macro-financial patterns over time. The Self-Organizing Time Map (SOTM) is a recent adaptation of the Self-Organizing Map for exploratory temporal structure analysis, which disentangles cross-sectional data structures over time. We apply the SOTM, as well as its combination with classical cluster analysis, in financial stability surveillance. Thus, this paper uses the SOTM for decomposing and identifying temporal structural changes in macro-financial data before, during and after the global financial crisis of 2007–2009.

BibTeX entry:

@ARTICLE{jSarlin_Peter13e,
  title = {Decomposing the Global Financial Crisis: A Self-Organizing Time Map},
  author = {Sarlin, Peter},
  journal = {Pattern Recognition Letters},
  volume = {34},
  pages = {1701–1709},
  year = {2013},
}

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

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