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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3568| Назва: | Recurrence entropy and financial crashes |
| Автори: | Соловйов, Володимир Миколайович Serdiuk, Olexandr Семеріков, Сергій Олексійович Kohut-Ferens, Oksana |
| Ключові слова: | recurrence plot recurrence quantification analysis recurrence entropy |
| Дата публікації: | 2019 |
| Видавництво: | Atlantis Press |
| Бібліографічний опис: | Soloviev V. N. Recurrence entropy and financial crashes [Electronic resource] / Vladimir Soloviev, Olexandr Serdiuk, Serhiy Semerikov, Oksana Kohut-Ferens // Proceedings of the 2019 7th International Conference on Modeling, Development and Strategic Management of Economic System (MDSMES 2019) / Editors : Liliana Horal, Vladimir Soloviev, Andriy Matviychuk, Inesa Khvostina. – P. 385-388. – (Advances in Economics, Business and Management Research, volume 99). – DOI : 10.2991/mdsmes-19.2019.73. – Access mode : https://download.atlantis-press.com/article/125919250.pdf |
| Короткий огляд (реферат): | Entropy is one of the most frequently and effectively used measure of the complexity of systems of various nature. And if the Shannon's canonical entropy is more a measure of the randomness of the system, then the approximate, sample, permutation and other new type entropy that have appeared recently, exploiting the Shannon entropy form have allowed us to quantify the complexity of the systems in question using fast and efficient algorithms. For the first time, a new type of recurrence entropy is used to analyze the dynamics of financial time series under crashes conditions. It is shown that recurrent entropy can be used as the indicator-predictor of financial crashes. |
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| URI (Уніфікований ідентифікатор ресурсу): | http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3568 https://doi.org/10.2991/mdsmes-19.2019.73 |
| ISSN: | 2352-5428 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики |
Файли цього матеріалу:
| Файл | Опис | Розмір | Формат | |
|---|---|---|---|---|
| MDSMES_2019_paper_88.pdf | Article | 2.72 MB | Adobe PDF | Переглянути/Відкрити |
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