Machine learning as an early warning system to predict financial crisis
Source of Publication
International Review of Financial Analysis
© 2020 Elsevier Inc. This paper studies on “Early Warning Systems” (EWS) by investigating possible contagion risks, based on structured financial networks. Early warning indicators improve standard crisis prediction models performance. Using network analysis and machine learning algorithms we find evidence of contagion risk on the dates where we observe significant increase in correlations and centralities. The effectiveness of machine learning reached 98.8%, making the predictions extremely accurate. The model provides significant information to policymakers and investors about employing the financial network as a useful tool to improve portfolio selection by targeting assets based on centrality.
Contagion, Financial crisis, Forecasting, Machine learning, Social network analysis
Samitas, Aristeidis; Kampouris, Elias; and Kenourgios, Dimitris, "Machine learning as an early warning system to predict financial crisis" (2020). All Works. 2293.
Indexed in Scopus