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The lack of reversibility during financial crisis and its identification

Bielinskyi, Andrii; Hushko, Serhii; Matviychuk, Andriy; Serdyuk, Oleksandr; Семеріков, Сергій Олексійович; Соловйов, Володимир Миколайович

URI: https://doi.org/10.1051/shsconf/202110703002
http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/4379

Date: 2021-05-24

Abstract:

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.

Description:

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