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

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  • Callum Scott

    (Department of Finance, Faculty of Economics and Commerce, University of Melbourne, Parkville, Victoria 3052, Australia)

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.

Suggested Citation

  • Callum Scott, 2003. "The South-East Asia Crisis, Neural Networks and Market Behavior: An Exploratory Study," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 349-379.
    • Handle: RePEc:wsi:rpbfmp:v:06:y:2003:i:03:n:s0219091503001122
    DOI: 10.1142/S0219091503001122
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    References listed on IDEAS

    as
    1. Mishkin, Frederic S., 1999. "Lessons from the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 709-723, August.
    2. Steven Radelet & Jeffrey Sachs, 1998. "The Onset of the East Asian Financial Crisis," NBER Working Papers 6680, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Callum Scott, 2006. "Measuring Contagion in the South-East Asian Economic Crisis: An Exploration Using Artificial Neural Networks," Accounting Research Journal, Emerald Group Publishing, vol. 19(2), pages 139-152, September.

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    More about this item

    Keywords

    Artificial neural networks; market learning; contribution factor;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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