A FRAMEWORK FOR STATE TRANSITIONS ON THE SELF-ORGANIZING MAP: SOME TEMPORAL FINANCIAL APPLICATIONS

Intelligent Systems in Accounting, Finance and Management

Volumn 19, Issue 3, 2012, Pages 189-203

  Sarlin, Peter ^a   Yao, Zhiyuan ^a   Eklund, Tomas ^a  

^a ÅBO AKADEMI UNIVERSITY   (Finland)

Author keywords

currency crises; financial institutions; self organizing map (SOM); state transitions; temporal data

Indexed keywords

EID: 84876923540     PISSN: 15501949     EISSN: 21600074     Source Type: Journal    
DOI: 10.1002/isaf.1328     Document Type: Article

References (36)

1. Afolabi MO, Olude O. 2007. Predicting stock prices using a hybrid Kohonen self organizing map (SOM). In Proceedings of the 40th Annual Hawaii International Conference on Systems Sciences (HICSS'07), Hawaii, USA, 3–6 January.
2. Alhoniemi E, Hollmén J, Simula O, Vesanto J. 1999. Process monitoring and modeling using the self-organizing map. Integrated Computer Aided Engineering 6(1): 3–14.
3. Back B, Sere K, Vanharanta H. 1998. Managing complexity in large data bases using self-organizing maps. Accounting, Management and Information Technologies 8(4): 191–210.
4. Barreto G, Araújo A. 2001. Time in self-organizing maps: an overview of models. International Journal of Computer Research 10(2): 139–179.
5. Berg A, Pattillo C. 1999. What caused the Asian crises: an early warning system approach. Economic Notes 28: 285–334.
6. Deakin EB. 1976. Distributions of financial accounting ratios: some empirical evidence. The Accounting Review 51: 90–96.
7. Deboeck G, Kohonen T. 1998. Visual Explorations in Finance with Self-Organizing Maps. Springer-Verlag: Berlin.
8. Eklund T, Back B, Vanharanta H, Visa A. 2003. Using the self-organizing map as a visualization tool in financial benchmarking. Information Visualization 2: 171–181.
9. Eklund T, Back B, Vanharanta H, Visa A. 2008. A face validation of a SOM-based financial benchmarking model. Journal of Emerging Technologies in Accounting 5(1): 109–127.
10. Fuertes JJ, Domínguez M, Reguera P, Prada MA, Díaz I, Cuadrado AA. 2010. Visual dynamic model based on self-organizing maps for supervision and fault detection in industrial processes. Engineering Applications of Artificial Intelligence 23(1): 8–17.
11. Guimarães G, Lobo VS, Moura-Pires F. 2003. A taxonomy of self-organizing maps for temporal sequence processing. Intelligent Data Analysis 7(4): 269–290.
12. Hammer B, Micheli A, Neubauer N, Sperduti A, Strickert M. 2005. Self organizing maps for time series. In Proceedings of the Worskop on Self-Organizing Maps, Paris, France, 5–8 September.
13. Hsu SH, Hsieh J, Chih TC, Hsu KC. 2009. A two-stage architecture for stock price forecasting by integrating self-organizing map and support vector regression. Expert Systems with Applications 36: 7947–7951.
14. Kaminsky G, Lizondo S, Reinhart C. 1998. Leading indicators of currency crises. IMF Staff Papers 45: 1–48.
15. Kaski S, Kohonen T. 1996. Exploratory data analysis by the self-organizing map: structures of welfare and poverty in the world. In Neural Networks in Financial Engineering, Apostolos PNR, Abu-Mostafa Y, Moody J, Weigend A (eds). World Scientific: Singapore; 498–507.
16. Kiang M, Hu M, Fisher D. 2006. An extended self-organizing map network for market segmentation - a telecommunication example. Decision Support Systems 42(1): 36–47.
17. Kindleberger C. 1996. Maniacs, Panics, and Crashes. Cambridge University Press: Cambridge.
18. Kiviluoto K. 1998. Predicting bankruptcies with the self-organizing map. Neurocomputing 21(1–3): 191–201.
19. Kohonen T. 1982. Self-organized formation of topologically correct feature maps. Biological Cybernetics 66: 59–69.
20. Kohonen T. 2001. Self-Organizing Maps, 3rdedn. Springer-Verlag: Berlin.
21. Lev B. 1974. Financial Statement Analysis: A New Approach. Englewood Cliffs, N.J.: Prentice-Hall, Inc.
22. Lingras P, Hogo M, Snorek M, West C. 2005. Temporal analysis of clusters of supermarket customers: conventional versus interval set approach. Information Sciences 172(1–2): 215–240.
23. Luyssaert S, Sulkava M, Raitio H, Hollmén J. 2004. Evaluation of forest nutrition based on large-scale foliar surveys: are nutrition profiles the way of the future? Journal of Environmental Monitoring 6(2): 160–167.
24. Martín-del-Brío B, Serrano-Cinca C. 1993. Self-organizing neural networks for the analysis and representation of data: some financial cases. Neural Computing and Applications 1(2): 193–206.
25. Minsky H. 1982. Can ‘it’ Happen Again? Essays on Instability and Finance. M.E. Sharpe: Armonk, NY.
26. Oja M, Kaski S, Kohonen S. 2002. Bibliography of self-organizing map (SOM) papers: 1998–2001. Neural Computing Surveys 3: 1–156.
27. Salmi T, Martikainen T. 1994. A review of the theoretical and empirical basis of financial ratio analysis. The Finnish Journal of Business Economics 4: 426–448.
28. Sarlin P. 2010. Visual monitoring of financial stability with a self-organizing neural network. In Proceedings of the 10th IEEE International Conference on Intelligent Systems Design and Applications (ISDA'10), Cairo, Egypt, 28–30 November.
29. Sarlin P. 2011. Sovereign debt monitor: a visual self-organizing maps approach. In Proceedings of the IEEE Symposium on Computational Intelligence for Financial Engineering & Economics, Paris, France, 11–15 April.
30. Sarlin P, Eklund T. 2011a. Fuzzy clustering of the self-organizing map: some applications on financial time series. In Advances in Self-Organizing Maps, Laaksonen J, Honkela T (eds). Springer: Heidelberg; 40–50.
31. Sarlin P, Eklund T. 2011b. Financial performance analysis of European banks using a fuzzified self-organizing map. In Proceedings of the 15th International Conference on Knowledge-Based and Intelligent Information & Engineering Systems (KES 2011), Kaiserslautern, Germany, 12–14 September.
32. Sarlin P, Marghescu D. 2011. Visual predictions of currency crises using self-organizing maps. Intelligent Systems in Accounting, Finance and Management 18(1): 15–38.
33. Sarlin P, Peltonen T. 2011. Mapping the state of financial stability. ECB Working Paper, no. 1382.
34. Somervuo P. 2000. Competing hidden Markov models on the self-organizing map. In Proceedings of the International Joint Conference on Neural Networks (IJCNN 2000), Como, Italy, 27 July.
35. Sulkava M, Hollmén J. 2003. Finding profiles of forest nutrition by clustering of the self-organizing map. In Proceedings of the Workshop on Self-Organizing Maps, Hibikino, Kitakyushu, Japan, 11–14 September.
36. Ward J. 1963. Hierarchical grouping to optimize an objective function. Journal of the American Statistical Association 58: 236–244.