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Permutation Based Complexity Measures and Crashes

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dc.contributor.author Соловйов, Володимир Миколайович
dc.contributor.author Бєлінський, Андрій Олександрович
dc.contributor.author Matviychuk, A. V.
dc.contributor.author Serdyuk, O. A.
dc.date.accessioned 2021-07-14T09:40:01Z
dc.date.available 2021-07-14T09:40:01Z
dc.date.issued 2021
dc.identifier.citation Soloviev V. M. Permutation Based Complexity Measures and Crashes / V. M. Soloviev, A. O. Bielinskyi, A. V. Matviychuk, O. A. Serdyuk // Systems Analysis Models in the Economic Processes Management : monograph / Volodymyr Ponomarenko, Tamara Klebanova, Lidiya Guryanova. - Bratislava ; Kharkiv, 2021. - Pp. 204-217.
dc.identifier.uri http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/4397
dc.identifier.uri https://doi.org/10.31812/123456789/4397
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dc.description.abstract A comprehensive analysis of permutation measures of the complexity of economic systems is performed by calculating the permutation entropy and the Kullback-Leibler divergence within the algorithm of a sliding window. A comparative analysis of these measures with the daily values of the Dow Jones index, WTI oil prices and Bitcoin prices indicate the possibility of their use as indicators-precursors of the known crashes in selected markets. Проведено комплексний аналіз пермутаційних мір складності економічних систем шляхом розрахунку у рамках алгоритму ковзного вікна ентропії перестановок та дивергенції Кульбака-Лейблера. Порівняльний аналіз вказаних мір з щоденними значеннями індексу Доу Джонса, ціни нафти марки WTI та ціни Біткоїна свідчать про можливість їх використання у якості індикаторів передвісників відомих крахів на обраних ринках. Проведен комплексный анализ пермутационных мер сложности экономических систем путем расчета в рамках алгоритма скользящего окна энтропии перестановок и дивергенции Кульбака-Лейблера. Сравнительный анализ указанных мер с ежедневным значениям индекса Доу Джонса, цены нефти марки WTI и цены Биткоина свидетельствуют о возможности их использования в качестве индикаторов-предвестников известных крахов на избранных рынках. uk
dc.language.iso en uk
dc.subject економічні системи
dc.subject пермутаційні міри складності
dc.title Permutation Based Complexity Measures and Crashes uk
dc.type Article uk


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