Будь ласка, використовуйте цей ідентифікатор, щоб цитувати або посилатися на цей матеріал: http://elibrary.kdpu.edu.ua/xmlui/handle/0564/2464
Назва: Quantum econophysics of cryptocurrencies crises
Автори: Соловйов, Володимир Миколайович
Соловйова, Вікторія Володимирівна
Ключові слова: quantum econophysics
cryptocurrencies crises
random matrix theory
time series prediction
Дата публікації: 2018
Бібліографічний опис: Soloviev V. N. Quantum econophysics of cryptocurrencies crises / V. Soloviev, V. Solovieva // Прикладні аспекти прогнозування розвитку економіки України : монографія / за ред. О. І. Черняка, П. В. Захарченка. – Мелітополь, 2018. – С. 215-228.
Короткий огляд (реферат): From positions, attained by modern theoretical physics in understanding of the universe bases, the methodological and philosophical analysis of fundamental physical concepts and their formal and informal connections with the real economic measuring is carried out. Procedures for heterogeneous economic time determination, normalized economic coordinates and economic mass are offered, based on the analysis of time series, the concept of economic Plank's constant has been proposed. The theory has been approved on the real economic dynamic's time series, related to the cryptocurrencies market, the achieved results are open for discussion. Then, combined the empirical cross-correlation matrix with the random matrix theory, we mainly examine the statistical properties of cross-correlation coefficient, the evolution of average correlation coefficient, the distribution of eigenvalues and corresponding eigenvectors of the global cryptocurrency market using the daily returns of 15 cryptocurrencies price time series across the world from 2016 to 2018. The result indicated that the largest eigenvalue reflects a collective effect of the whole market, practically coincides with the dynamics of the mean value of the correlation coefficient and very sensitive to the crisis phenomena. It is shown that both the introduced economic mass and the largest eigenvalue of the matrix of correlations can serve as quantum indicator-predictors of crises in the market of cryptocurrencies.
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URI (Уніфікований ідентифікатор ресурсу): http://elibrary.kdpu.edu.ua/handle/0564/2464
https://doi.org/10.31812/0564/2464
Розташовується у зібраннях:Кафедра інформатики та прикладної математики (монографії)

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