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Recurrence entropy and financial crashes

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dc.contributor.author Соловйов, Володимир Миколайович
dc.contributor.author Serdiuk, Olexandr
dc.contributor.author Семеріков, Сергій Олексійович
dc.contributor.author Kohut-Ferens, Oksana
dc.date.accessioned 2020-01-01T15:03:07Z
dc.date.available 2020-01-01T15:03:07Z
dc.date.issued 2019
dc.identifier.citation 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 uk_UA
dc.identifier.issn 2352-5428
dc.identifier.uri http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3568
dc.identifier.uri https://doi.org/10.2991/mdsmes-19.2019.73
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dc.description.abstract 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. uk_UA
dc.language.iso en uk_UA
dc.publisher Atlantis Press uk_UA
dc.subject recurrence plot uk_UA
dc.subject recurrence quantification analysis uk_UA
dc.subject recurrence entropy uk_UA
dc.title Recurrence entropy and financial crashes uk_UA
dc.type Article uk_UA


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