N. Kasabov , L. Erzegovesi , M. Fedrizzi , A. Beber , and D. Deng
Dept. of Information Science, Univ. of Otago, Dunedin, New Zealand.
E-mail: nkasabov, ddeng@infoscience.otago.ac.nz
Dept. of Informatics and Faculty of Economics, Univ. of Trento, Italy
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The goal of this project is to develop a computational model for analyzing and anticipating signals of abrupt changes of volatility in financial markets. The system will be aimed at assessing the possibility of speculative attacks against specific EMU member countries, prospective EMU members or the EMU area as a whole. Potential users of the system include monetary authorities, asset managers, traders on money, debt, currency and stock markets and corporate financial managers.
The conceptual model underlying the computational model will be derived from a representation of financial markets as complex dynamic systems, whose stochastic behavior is influenced by exogenous shocks and endogenous uncertainty, the latter caused by interaction among market participants (degree of consensus and tendency to crowd behavior). Inspiration for this approach came from a paper by Tonis Vaga ([50]).
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