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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3151| Назва: | Levy’s stable distribution for stock crash detecting |
| Автори: | Bielinskyi, Andrii Семеріков, Сергій Олексійович Соловйова, Вікторія Володимирівна Соловйов, Володимир Миколайович |
| Дата публікації: | 2019 |
| Видавництво: | EDP Sciences |
| Бібліографічний опис: | Bielinskyi A. Levy’s stable distribution for stock crash detecting [Electronic resource] / Andrii Bielinskyi, Serhiy Semerikov, Viktoria Solovieva and Vladimir Soloviev // The 8th International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2 2019). Odessa, Ukraine, May 22-24, 2019 / Eds. : S. Semerikov, V. Soloviev, L. Kibalnyk, O. Chernyak and H. Danylchuk // SHS Web of Conferences. – 2019. – Volume 65. – Article 06006. – Access mode : https://www.shs-conferences.org/articles/shsconf/abs/2019/06/shsconf_m3e22019_06006/shsconf_m3e22019_06006.html. – DOI : https://doi.org/10.1051/shsconf/20196506006 |
| Короткий огляд (реферат): | In this paper we study the possibility of construction indicators-precursors relying on one of the most power-law tailed distributions – Levy’s stable distribution. Here, we apply Levy’s parameters for 29 stock indices for the period from 1 March 2000 to 28 March 2019 daily values and show their effectiveness as indicators of crisis states on the example of Dow Jones Industrial Average index for the period from 2 January 1920 to 2019. In spite of popularity of the Gaussian distribution in financial modeling, we demonstrated that Levy’s stable distribution is more suitable due to its theoretical reasons and analysis results. And finally, we conclude that stability α and skewness β parameters of Levy’s stable distribution which demonstrate characteristic behavior for crash and critical states, can serve as an indicator-precursors of unstable states. |
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| URI (Уніфікований ідентифікатор ресурсу): | http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3151 https://doi.org/10.1051/shsconf/20196506006 |
| ISSN: | 2261-2424 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики |
Файли цього матеріалу:
| Файл | Опис | Розмір | Формат | |
|---|---|---|---|---|
| shsconf_m3e22019_06006.pdf | Article | 409.84 kB | Adobe PDF | Переглянути/Відкрити |
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