SVM sensitivity analysis: an application to currency crises aftermaths

• Published in: IEEE transactions on systems, man and cybernetics. Part A, Systems and humans Vol. 34; no. 3; pp. 387 - 398
• Main Authors: Rueda, I.E.A., Arciniegas, F.A., Embrechts, M.J.
• Format: Journal Article
• Language: English
• Published: IEEE 01.05.2004
• Subjects: Banking; Economics; Exchange rates; Input variables; International trade; Machine learning; Machine learning algorithms; Random variables; Sensitivity analysis; Support vector machines

A currency crisis is an economic event where a country's fixed exchange rate is under pressure by speculators. In some cases, currency crises are followed by strong recessions (e.g., recent Asian and Argentinean crises), but in other cases they are not. This paper seeks to determine what are th...