CIRJE-F-411 | "A New Approach to Modeling EarlyWarning Systems for Currency Crises : can a machine-learning fuzzy expert system predict the currency crises effectively?" |
Author Name | Lin, Chin-Shien, Haider A. Khan, Ying-Chieh Wang and Ruei-Yuan Chang |
Date | April 2006 |
Full Paper | PDF file@ |
Remarks | @@ |
Abstract |
This paper presents a hybrid model for predicting the occurrence of currency
crises by using the neuro fuzzy modeling approach. The model integrates the
learning ability of neural network with the inference mechanism of fuzzy logic.
The empirical results show that the proposed neuro fuzzy model leads to a
better prediction of crisis. Significantly, the model can also construct a
reliable causal relationship among the variables through the obtained
knowledge base. Compared to the traditionally used techniques such as logit,
the proposed model can thus lead to a somewhat more prescriptive modeling
approach towards finding ways to prevent currency crises.
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