SOM-based data analysis of speculative attacks' real effects

Article type: Research Article

Authors: Arciniegas Rueda, Ismael E.^{a; *} | Arciniegas, Fabio A.^b

Affiliations: [a] Constellation New Energy, Baltimore, Maryland, USA | [b] Central American Bank of Economic Integration, Tegucigalpa, Honduras

Correspondence: [*] Corresponding author: Ismael E. Arciniegas Rueda, 111 Market Place Baltimore MD 21202, USA. Tel.: +1 410 295 1763; E-mail: [email protected].

Abstract: 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 uses Self-Organizing Maps (SOM) to search for meaningful associations between speculative attacks' real effects and 28 variables that characterize the economic, financial, legal, and socio-political structure of the country at the onset of the attack. SOM is a neural network-based generalization of Principal Component Analysis (PCA) that provides an efficient non-linear projection of the multidimensional data space on a curved surface. This paper finds a strong association of speculative attacks' real effects with fundamentals and the banking sector structure.

Keywords: Exploratory data analysis, self-organizing maps, financial crises

DOI: 10.3233/IDA-2009-0367

Journal: Intelligent Data Analysis, vol. 13, no. 2, pp. 261-300, 2009