The South-East Asia Crisis, Neural Networks and Market Behavior: An Exploratory Study

Callum Scott ()
Additional contact information
Callum Scott: Department of Finance, Faculty of Economics and Commerce, University of Melbourne, Parkville, Victoria 3052, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2003, vol. 06, issue 03, 349-379

Abstract: A model of market behavior as a learning process was explored using artificial neural networks. Market and currency data from the period before and during the South-East Asia crisis of 1997 relating to Indonesia, the Philippines, Malaysia, Thailand, Australia, and New Zealand was used to train neural networks. Time series of changes in neural networks' connection weights were generated whilst making a series of forecasts over time. Changes in connection weights captured the changing importance of these Asian markets to those of Australia and New Zealand as the crisis unfolded, and could be regarded as a measure of market learning.

Keywords: Artificial neural networks; market learning; contribution factor (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091503001122
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:06:y:2003:i:03:n:s0219091503001122

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091503001122

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().