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Entropy Analysis of Crisis Phenomena for DJIA Index

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dc.contributor.author Соловйов, Володимир Миколайович
dc.contributor.author Bielinskyi, Andrii
dc.contributor.author Соловйова, Вікторія Володимирівна
dc.date.accessioned 2019-06-30T19:45:02Z
dc.date.available 2019-06-30T19:45:02Z
dc.date.issued 2019-06-30
dc.identifier.citation Soloviev V. Entropy Analysis of Crisis Phenomena for DJIA Index [Electronic resource] / Vladimir Soloviev, Andrii Bielinskyi, Viktoria Solovieva // ICTERI 2019: ICT in Education, Research and Industrial Applications. Integration, Harmonization and Knowledge Transfer : Proceedings of the 15th International Conference on ICT in Education, Research and Industrial Applications. Integration, Harmonization and Knowledge Transfer. Volume II: Workshops. Kherson, Ukraine, June 12-15, 2019 / Edited by : Vadim Ermolayev, Frédéric Mallet, Vitaliy Yakovyna, Vyacheslav Kharchenko, Vitaliy Kobets, Artur Korniłowicz, Hennadiy Kravtsov, Mykola Nikitchenko, Serhiy Semerikov, Aleksander Spivakovsky. – (CEUR Workshop Proceedings, Vol. 2393). – P. 434-449. – Access mode : http://ceur-ws.org/Vol-2393/paper_375.pdf uk
dc.identifier.issn 1613-0073
dc.identifier.uri http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3179
dc.identifier.uri https://doi.org/10.31812/123456789/3179
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dc.description.abstract The Dow Jones Industrial Average (DJIA) index for the 125-year-old (since 1896) history has experienced many crises of different nature and, reflecting the dynamics of the world stock market, is an ideal model object for the study of quantitative indicators and precursors of crisis phenomena. In this paper, the classification and periodization of crisis events for the DJIA index have been carried out; crashes and critical events have been highlighted. Based on the modern paradigm of the theory of complexity, a spectrum of entropy indicators and precursors of crisis phenomena have been proposed. The entropy of a complex system is not only a measure of uncertainty (like Shannon's entropy) but also a measure of complexity (like the permutation and Tsallis entropy). The complexity of the system in a crisis changes significantly. This fact can be used as an indicator, and in the case of a proactive change as a precursor of a crisis. Complex systems also have the property of scale invariance, which can be taken into account by calculating the Multiscale entropy. The calculations were carried out within the framework of the sliding window algorithm with the subsequent comparison of the entropy measures of complexity with the dynamics of the DJIA index itself. It is shown that Shannon's entropy is an indicator, and the permutation and Tsallis entropy are the precursors of crisis phenomena to the same extent for both crashes and critical events. uk
dc.language.iso en uk
dc.publisher Vadim Ermolayev, Frédéric Mallet, Vitaliy Yakovyna, Vyacheslav Kharchenko, Vitaliy Kobets, Artur Korniłowicz, Hennadiy Kravtsov, Mykola Nikitchenko, Serhiy Semerikov, Aleksander Spivakovsky uk
dc.subject stock market uk
dc.subject Dow Jones Industrial Average index uk
dc.subject complex systems uk
dc.subject measures of complexity uk
dc.subject crash uk
dc.subject critical event uk
dc.subject permutation entropy uk
dc.subject Shannon entropy uk
dc.subject Tsallis entropy uk
dc.subject multiscale entropy uk
dc.subject indicators and precursors uk
dc.title Entropy Analysis of Crisis Phenomena for DJIA Index uk
dc.type Article uk


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