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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/4118| Назва: | Econophysics of sustainability indices |
| Автори: | Bielinskyi, Andriy Семеріков, Сергій Олексійович Serdiuk, Oleksandr Solovieva, Victoria Соловйов, Володимир Миколайович Pichl, Lukáš |
| Ключові слова: | Dow Jones Sustainability Index measures of complexity precursors of stock market crashes |
| Дата публікації: | 10-жов-2020 |
| Видавництво: | Arnold Kiv |
| Бібліографічний опис: | Bielinskyi A. Econophysics of sustainability indices [Electronic resource] / Andriy Bielinskyi, Serhiy Semerikov, Oleksandr Serdiuk, Victoria Solovieva, Vladimir Soloviev, Lukáš Pichl // Machine Learning for Prediction of Emergent Economy Dynamics 2020 : Proceedings of the Selected Papers of the Special Edition of International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2-MLPEED 2020), Odessa, Ukraine, July 13-18, 2020 / Edited by : Arnold Kiv // CEUR Workshop Proceedings. – 2020. – Vol. 2713. – Pp. 372-392. – Access mode : http://ceur-ws.org/Vol-2713/paper41.pdf |
| Короткий огляд (реферат): | In this paper, the possibility of using some econophysical methods for quantitative assessment of complexity measures: entropy (Shannon, Approximate and Permutation entropies), fractal (Multifractal detrended fluctuation analysis – MF-DFA), and quantum (Heisenberg uncertainty principle) is investigated. Comparing the capability of both entropies, it is obtained that both measures are presented to be computationally efficient, robust, and useful. Each of them detects patterns that are general for crisis states. The similar results are for other measures. MF-DFA approach gives evidence that Dow Jones Sustainability Index is multifractal, and the degree of it changes significantly at different periods. Moreover, we demonstrate that the quantum apparatus of econophysics has reliable models for the identification of instability periods. We conclude that these measures make it possible to establish that the socially responsive exhibits characteristic patterns of complexity, and the proposed measures of complexity allow us to build indicators-precursors of critical and crisis phenomena. |
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| URI (Уніфікований ідентифікатор ресурсу): | http://ceur-ws.org/Vol-2713/paper41.pdf http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/4118 https://doi.org/10.31812/123456789/4118 |
| ISSN: | 1613-0073 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики |
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