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

doi:10.3233/IDA-150749

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

Department of Industrial Engineering

Research output: Contribution to journal › Article › peer-review

4 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 language	English
Pages (from-to)	879-895
Number of pages	17
Journal	Intelligent Data Analysis
Volume	19
Issue number	4
DOIs	https://doi.org/10.3233/IDA-150749
Publication status	Published - 2015 Jul 1

Bibliographical note

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© 2015 - IOS Press and the authors. All rights reserved.

All Science Journal Classification (ASJC) codes

Theoretical Computer Science
Computer Vision and Pattern Recognition
Artificial Intelligence

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AU - Luo, Zhiming

AU - Kim, Chiho

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Intelligent stock market instability index: Application to the Korean stock market

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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