Abstract
The present paper aims at locating the breakings of the integration process of an international system observed during about 50 years in the 19th century. A historical study could link them to special events, which operated as exogenous shocks on this process. The indicator of integration used is the spread between the highest and the lowest among the London, Hamburg and Paris gold-silver prices. Three algorithms are combined to study this integration: a periodization obtained with the SOM algorithm is confronted to the estimation of a two-regime Markov switching model, in order to give an interpretation of the changes of regime; in the same time change-points are identified over the whole period providing a more precise interpretation of the various types of regulation.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Boyer-Xambeu, M.-T., Deleplace, G., Gillard, L.: Bimétallisme, taux de change et prix de l’or et de l’argent (1717-1873). Economies et Sociétés 29(7-8), 5–377 (1995)
Boyer-Xambeu, M.-T., Deleplace, G., Gillard, L.: Bimetallic Snake’ and Monetary Regimes: The Stability of the Exchange Rate between London and Paris from 1796 to 1873. In: Marcuzzo, M.C., Officer, L.H., Rosselli, A. (eds.) Monetary Standards and Exchange Rates, pp. 106–149. Routledge, London (1997)
Boyer-Xambeu, M.-T., Deleplace, G., Gillard, L.: International Bimetallism? Exchange Rates and Bullion Flows in Europe, 1821-1873. Mimeo, Université Paris 8 – LED (2006)
Boyer-Xambeu, M.-T., Deleplace, G., Gaubert, P., Gillard, L., Olteanu, M.: Combining a Dynamic Version of Kohonen Algorithm and a Two-Regime Markov Switching Model: an Application to the Periodization of International Bimetallism (1821-1873). Submitted to Investigacion Operacional (2006)
Cottrell, M., Fort, E.C., Pagès, G.: Theoretical aspects of the Kohonen Algorithm. In: WSOM’97, Helsinki (1997)
Cottrell, M., Gaubert, P., Letremy, P., Rousset, P.: Analysing and Representing Multidimensional Quantitative and Qualitative Data. Demographic Study of the Rhone Valley. The Domestic Consumption of the Canadian Families. In: Oja, E., Kaski, S. (eds.) Kohonen Maps, Elsevier Science, Amsterdam (1999)
Hamilton, J.D.: A new approach to the economic analysis of non-stationary time series and the business cycle. Econometrica 57, 357–384 (1989)
Kohonen, T.: Self-Organization and Associative Memory, 3rd edn. Springer, Berlin (1984)
Lavielle, M., Teyssière, G.: Adaptative Detection of Multiple Change-Points in Asset Price Volatility. WP n° 230, SAMOS, Université de Paris I (2005)
Author information
Authors and Affiliations
Editor information
Rights and permissions
Copyright information
© 2007 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Boyer-Xambeu, MT., Deleplace, G., Gaubert, P., Gillard, L., Olteanu, M. (2007). Mixing Kohonen Algorithm, Markov Switching Model and Detection of Multiple Change-Points: An Application to Monetary History. In: Sandoval, F., Prieto, A., Cabestany, J., Graña, M. (eds) Computational and Ambient Intelligence. IWANN 2007. Lecture Notes in Computer Science, vol 4507. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-73007-1_67
Download citation
DOI: https://doi.org/10.1007/978-3-540-73007-1_67
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-73006-4
Online ISBN: 978-3-540-73007-1
eBook Packages: Computer ScienceComputer Science (R0)