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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/6975| Назва: | Irreversibility of financial time series: a case of crisis |
| Автори: | Bielinskyi, Andrii O. Hushko, Serhii V. Matviychuk, Andriy V. Serdyuk, Oleksandr A. Семеріков, Сергій Олексійович Соловйов, Володимир Миколайович Білінський, Андрій Іванович Матвійчук, Андрій Вікторович Сердюк, О. А. |
| Ключові слова: | irreversibility stock markets crisis states |
| Дата публікації: | 18-гру-2021 |
| Бібліографічний опис: | Bielinskyi A. O. Irreversibility of financial time series: a case of crisis [Electronic resource] / Andrii O. Bielinskyi, Serhii V. Hushko, Andriy V. Matviychuk, Oleksandr A. Serdyuk, Serhiy O. Semerikov, Vladimir N. Soloviev // Proceedings of the Selected and Revised Papers of 9th International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2-MLPEED 2021). Odessa, Ukraine, May 26-28, 2021 / Edited by : Arnold E. Kiv, Vladimir N. Soloviev, Serhiy O. Semerikov // CEUR Workshop Proceedings. – 2021. – Vol. 3048. – P. 134-150. – Access mode : http://ceur-ws.org/Vol-3048/paper04.pdf |
| Короткий огляд (реферат): | The focus of this study to measure the varying irreversibility of stock markets. A fundamental idea of this study is that financial systems are complex and nonlinear systems that are presented to be non-Gaussian fractal and chaotic. Their complexity and different aspects of nonlinear properties, such as time irreversibility, vary over time and for a long-range of scales. Therefore, our work presents approaches to measure the complexity and irreversibility of the time series. To the presented methods we include Guzik’s index, Porta’s index, Costa’s index, based on complex networks measures, Multiscale time irreversibility index and based on permutation patterns measures. Our study presents that the corresponding measures can be used as indicators or indicator-precursors of crisis states in stock markets. |
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| URI (Уніфікований ідентифікатор ресурсу): | https://ceur-ws.org/Vol-3048/paper04.pdf http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/6975 https://doi.org/10.31812/123456789/6975 |
| ISSN: | 1613-0073 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики |
Файли цього матеріалу:
| Файл | Опис | Розмір | Формат | |
|---|---|---|---|---|
| paper04.pdf | 1.37 MB | Adobe PDF | Переглянути/Відкрити |
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