Non-linear Analysis of Shocks when Financial Markets are Subject to Changes in Regime

Bertrand Maillet, Madalina Olteanu, Joseph Rynkiewicz
2004 The European Symposium on Artificial Neural Networks  
Violent turbulences are often striking the financial markets and an Index of Market Shocks (IMS) was recently introduced in the attempt of quantifying these turbulences. Regime switching linear models have already been used in modelling the conditional volatility of returns. In this paper we propose a description of the IMS with hybrid models integrating multi-layer perceptrons and hidden Markov chains. After sudying the prediction performance of these models, we focus on the series separation
more » ... nd the index behaviour subject to the hidden states.
dblp:conf/esann/BertrandMJ04 fatcat:6m76iav45jcubf2qdpbjct3cje