Genetic Algorithms and Financial Crises in Emerging Markets

CEFI International Conference Proceedings

15 Pages Posted: 12 Apr 2005

Date Written: May 2000

Abstract

indicators (real exchange rates, reserves over M2, imports, short-term debt level...) can be very useful to understand and quantify country risk levels, but are not sufficient. Sudden changes in indicators or combinations of indicators levels can induce a higher risk than what a simple linear model could measure and non-linear models using thresholds, like SETAR or EXPAR, are difficult to use with poor data and require a lot of observations. That's why we decided to create a tool that would help us to make a better diagnosis on country risk without an equation or a thresholds model. We called this indicator the Vulnerability, which is measured as a distance to an optimal combination computed as a risky pattern by a genetic algorithm regularly updated with new official data.

Keywords: Country risk, developing countries, genetic algorithms

JEL Classification: D81, C14, C45, C49

Suggested Citation

Barthelemy, Sylvain and Apoteker, Thierry, Genetic Algorithms and Financial Crises in Emerging Markets (May 2000). CEFI International Conference Proceedings, Available at SSRN: https://ssrn.com/abstract=687741 or http://dx.doi.org/10.2139/ssrn.687741

Sylvain Barthelemy (Contact Author)

TAC ( email )

La Saigeais
35140 Saint Hilaire des Landes
France

Thierry Apoteker

TAC ( email )

La Saigeais
35140 Saint Hilaire des Landes
France

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