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Self-organizing map analysis of agents’ expectations. Different patterns of anticipation of the 2008 financial crisis
dc.contributor.author | Claveria González, Oscar |
dc.contributor.author | Monte Moreno, Enrique |
dc.contributor.author | Torra Porras, Salvador |
dc.contributor.other | Universitat Politècnica de Catalunya. Departament de Teoria del Senyal i Comunicacions |
dc.date.accessioned | 2020-07-09T11:27:07Z |
dc.date.available | 2020-07-09T11:27:07Z |
dc.date.issued | 2015-07-03 |
dc.identifier.citation | Claveria, O.; Monte, E.; Torra Porras, S. "Self-organizing map analysis of agents’ expectations. Different patterns of anticipation of the 2008 financial crisis". 2015. |
dc.identifier.uri | http://hdl.handle.net/2117/192725 |
dc.description | Working paper |
dc.description.abstract | By means of Self-Organizing Maps we cluster fourteen European countries according to the most suitable way to model their agents’ expectations. Using the financial crisis of 2008 as a benchmark, we distinguish between those countries that show a progressive anticipation of the crisis and those where sudden changes in expectations occur. By mapping the trajectory of economic experts’ expectations prior to the recession we find that when there are brisk changes in expectations before impending shocks, Artificial Neural Networks are more suitable than time series models for modelling expectations. Conversely, in countries where expectations show a smooth transition towards recession, ARIMA models show the best forecasting performance. This result demonstrates the usefulness of clustering techniques for selecting the most appropriate method to model and forecast expectations according to their behaviour. |
dc.format.extent | 25 p. |
dc.language.iso | eng |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
dc.subject | Àrees temàtiques de la UPC::Informàtica::Intel·ligència artificial |
dc.subject.lcsh | Neural networks (Computer science) |
dc.subject.lcsh | Artificial intelligence |
dc.subject.other | Financial crisis of 2008 |
dc.subject.other | Self-organizing maps |
dc.subject.other | Economic expectations |
dc.title | Self-organizing map analysis of agents’ expectations. Different patterns of anticipation of the 2008 financial crisis |
dc.type | External research report |
dc.subject.lemac | Xarxes neuronals (Informàtica) |
dc.subject.lemac | Intel·ligència artificial |
dc.contributor.group | Universitat Politècnica de Catalunya. VEU - Grup de Tractament de la Parla |
dc.relation.publisherversion | http://www.ub.edu/irea/working_papers/2015/201511.pdf |
dc.rights.access | Open Access |
local.identifier.drac | 28852317 |
dc.description.version | Preprint |
dc.relation.projectid | info:eu-repo/grantAgreement/MINECO//TEC2012-38939-C03-02/ES/INVESTIGACION AVANZADA EN TECNOLOGIAS DEL HABLA PARA APLICACION A ENTORNOS AUDIOVISUALES/ |
local.citation.author | Claveria, O.; Monte, E.; Torra Porras, Salvador |
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