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Financial Crisis Modeling and Prediction with a Hilbert-EMD-Based SVM Approachs

Financial Crisis Modeling and Prediction with a Hilbert-EMD-Based SVM Approachs

Lean Yu, Shouyang Wang, Kin Keung Lai
Copyright: © 2009 |Pages: 14
ISBN13: 9781599049823|ISBN10: 1599049821|ISBN13 Softcover: 9781616926052|EISBN13: 9781599049830
DOI: 10.4018/978-1-59904-982-3.ch017
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MLA

Yu, Lean, et al. "Financial Crisis Modeling and Prediction with a Hilbert-EMD-Based SVM Approachs." Intelligent Data Analysis: Developing New Methodologies Through Pattern Discovery and Recovery, edited by Hsiao-Fan Wang, IGI Global, 2009, pp. 286-299. https://doi.org/10.4018/978-1-59904-982-3.ch017

APA

Yu, L., Wang, S., & Lai, K. K. (2009). Financial Crisis Modeling and Prediction with a Hilbert-EMD-Based SVM Approachs. In H. Wang (Ed.), Intelligent Data Analysis: Developing New Methodologies Through Pattern Discovery and Recovery (pp. 286-299). IGI Global. https://doi.org/10.4018/978-1-59904-982-3.ch017

Chicago

Yu, Lean, Shouyang Wang, and Kin Keung Lai. "Financial Crisis Modeling and Prediction with a Hilbert-EMD-Based SVM Approachs." In Intelligent Data Analysis: Developing New Methodologies Through Pattern Discovery and Recovery, edited by Hsiao-Fan Wang, 286-299. Hershey, PA: IGI Global, 2009. https://doi.org/10.4018/978-1-59904-982-3.ch017

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Abstract

Financial crisis is a kind of typical rare event, but it is harmful to economic sustainable development if occurs. In this chapter, a Hilbert-EMD-based intelligent learning approach is proposed to predict financial crisis events for early-warning purpose. In this approach a typical financial indicator currency exchange rate reflecting economic fluctuation condition is first chosen. Then the Hilbert-EMD algorithm is applied to the economic indicator series. With the aid of the Hilbert-EMD procedure, some intrinsic mode components (IMCs) of the data series with different scales can be obtained. Using these IMCs, a support vector machine (SVM) classification paradigm is used to predict the future financial crisis events based upon some historical data. For illustration purposes, two typical Asian countries including South Korea and Thailand suffered from the 1997-1998 disastrous financial crisis experience are selected to verify the effectiveness of the proposed Hilbert-EMD-based SVM methodology.

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