arXiv 28 Nov 2019 · Econometrics · publishedExpert Systems with Applications (2020) · 32 citations (OpenAlex)
arXiv:1911.12596 · PDF · DOI · OpenAlex · Extracted main text
This study constructs an integrated early warning system (EWS) that identifies and predicts stock market turbulence. Based on switching ARCH (SWARCH) filtering probabilities of the high volatility regime, the proposed EWS first classifies stock market crises according to an indicator function with thresholds dynamically selected by the two-peak method. A hybrid algorithm is then developed in the framework of a long short-term memory (LSTM) network to make daily predictions that alert turmoils. In the empirical evaluation based on ten-year Chinese stock data, the proposed EWS yields satisfying results with the test-set accuracy of $96.6%$ and on average $2.4$ days of the forewarned period. The model's stability and practical value in real-time decision-making are also proven by the cross-validation and back-testing.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Fu, J., Zhou, Q., Liu, Y., Wu, X (2019) Predicting stock market crises using daily stock market valuation and investor sentiment indicators | 0.811 | 4 | 2 | 100% |
| 2 | Hamilton, J.D., Susmel, R (1994) Autoregressive conditional heteroskedasticity and changes in regime | 0.811 | 4 | 2 | 100% |
| 3 | Kaminsky, G.L., Reinhart, C.M (1999) The twin crises: The causes of banking and balance-of-payments problems | 0.811 | 4 | 2 | 100% |
| 4 | Coudert, V., Gex, M (2008) Does risk aversion drive financial crises? testing the predictive power of empirical indicators | 0.737 | 3 | 2 | 100% |
| 5 | Li, W.X., Chen, C.C.S., French, J.J (2015) Toward an early warning system of financial crises: What can index futures and options tell us? | 0.737 | 3 | 2 | 100% |
| 6 | Babecký, J., Havránek, T., Mateju, J., Rusnák, M., Smídková, K., Vas… (2014) Banking, debt, and currency crises in developed countries: Stylized facts and early warning indicators | 0.644 | 2 | 2 | 100% |
| 7 | Jordan, M (1997) Serial order: A parallel distributed processing approach | 0.644 | 2 | 2 | 100% |
| 8 | Rosenfeld, A., De La Torre, P (1983) Histogram concavity analysis as an aid in threshold selection | 0.644 | 2 | 2 | 100% |
| 9 | Shannon, C.E (1948) A mathematical theory of communication | 0.585 | 3 | 1 | 100% |
| 10 | Rand, W.M (1971) Objective criteria for the evaluation of clustering methods | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 68 scored citations.