An early warning system for financial crises: a temporal convolutional network approach
发布日期：2024/03/15
作者：陈舜，Y. Huang, and L. Ge
单位：华中科技大学经济学院
期刊：Technological and Economic Development of Economy
Abstract：The widespread and substantial effect of the global financial crisis in history underlines the importance of forecasting financial crisis effectively. In this paper, we propose temporal convolutional network (TCN), which based on a convolutional neural network, to construct an early warning system for financial crises. The proposed TCN is compared with logit model and other deep learning models. The Shapley value decomposition is calculated for the interpretability of the early warning system. Experimental results show that the proposed TCN outperforms other models, and the stock price and the real GDP growth have the largest contributions in the crises prediction.
链接：AN EARLY WARNING SYSTEM FOR FINANCIAL CRISES: A TEMPORAL CONVOLUTIONAL NETWORK APPROACH | Semantic Scholar
