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Možnosti využití přístupu latentní sémantiky při předpovídání finančních krizí
[Possibilities of Financial Crises Forecasting with Latent Semantic Indexing]

Author

Listed:
  • Petr Hájek
  • Michal Střižík
  • Pavel Praks
  • Petr Kadeřábek

Abstract

Our study contains application of Latent Semantic Indexing on financial crises prediction. Hypothesis to test was that equity markets are able to predict even sharp changes in monetary policy during a quarter ahead of such a change (which was searched during two quarters that followed). This hypothesis, tested on sample of 36 countries between years 1985 and 2007, has been confirmed according to interest rate and foreign exchange expert interpretation. The studied application of LSI even though it timed several crises on their exact start day is not suitable for financial crises prediction but can be recommended for specification and analysis of fragile countries which are or could be prone to a crisis.

Suggested Citation

  • Petr Hájek & Michal Střižík & Pavel Praks & Petr Kadeřábek, 2009. "Možnosti využití přístupu latentní sémantiky při předpovídání finančních krizí [Possibilities of Financial Crises Forecasting with Latent Semantic Indexing]," Politická ekonomie, Prague University of Economics and Business, vol. 2009(6), pages 754-768.
    • Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:6:id:708:p:754-768
    DOI: 10.18267/j.polek.708
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    References listed on IDEAS

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    1. Andrew Berg & Eduardo Borensztein & Catherine Pattillo, 2005. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Staff Papers, Palgrave Macmillan, vol. 52(3), pages 1-5.
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    More about this item

    Keywords

    information retrieval; multidimensional data; dimension reduction; linear algebra; Latent Semantic Indexing (LSI); Singular Value Decomposition (SVD); financial crises; stock market;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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