Intelligent stock market instability index

Application to the Korean stock market

Young Min Kim, Sung Kwon Han, Tae Yoon Kim, Kyong Joo Oh, Zhiming Luo, Chiho Kim

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

In order to monitor stock market instability in emerging markets, we propose a stock market instability index (SMII) with a corresponding p-value by using a model fitted to a stable period. More precisely, this study considers a random walk model and combines it with a nonparametric model by using Bayesian model averaging. The integrated stock market instability index (iSMII) and its p$-value are derived as a posterior expectation of the two models. In this study, an artificial neural network (ANN) is utilized as a nonparametric model.

Original languageEnglish
Pages (from-to)879-895
Number of pages17
JournalIntelligent Data Analysis
Volume19
Issue number4
DOIs
Publication statusPublished - 2015 Jul 1

Fingerprint

Stock Market
Nonparametric Model
p-Value
Bayesian Model Averaging
Emerging Markets
Artificial Neural Network
Random walk
Monitor
Model
Financial markets
Neural networks

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Computer Vision and Pattern Recognition
  • Artificial Intelligence

Cite this

Kim, Young Min ; Han, Sung Kwon ; Kim, Tae Yoon ; Oh, Kyong Joo ; Luo, Zhiming ; Kim, Chiho. / Intelligent stock market instability index : Application to the Korean stock market. In: Intelligent Data Analysis. 2015 ; Vol. 19, No. 4. pp. 879-895.
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Intelligent stock market instability index : Application to the Korean stock market. / Kim, Young Min; Han, Sung Kwon; Kim, Tae Yoon; Oh, Kyong Joo; Luo, Zhiming; Kim, Chiho.

In: Intelligent Data Analysis, Vol. 19, No. 4, 01.07.2015, p. 879-895.

Research output: Contribution to journalArticle

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