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Identifying stock market crashes by fuzzy measures of complexity

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dc.contributor.author Bielinskyi, Andrii
dc.contributor.author Соловйов, Володимир Миколайович
dc.contributor.author Семеріков, Сергій Олексійович
dc.contributor.author Solovieva, Viktoria
dc.contributor.author Білінський, Андрій Іванович
dc.contributor.author Соловйова, Вікторія Володимирівна
dc.date.accessioned 2023-01-02T17:11:16Z
dc.date.available 2023-01-02T17:11:16Z
dc.date.issued 2021-12-13
dc.identifier.citation Bielinskyi A. Identifying stock market crashes by fuzzy measures of complexity / Andrii Bielinskyi, Vladimir Soloviev, Serhiy Semerikov, Viktoria Solovieva // Neiro-Nechitki Tekhnolohii Modelyuvannya v Ekonomitsi. – 2021. – Vol. 10. – P. 3-45. DOI : 10.33111/nfmte.2021.003 uk
dc.identifier.issn 2415-3516
dc.identifier.uri http://doi.org/10.33111/nfmte.2021.003
dc.identifier.uri http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/7003
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dc.description.abstract This study, for the first time, presents the possibility of using fuzzy set theory in combination with information theory and recurrent analysis to construct indicators (indicators-precursors) of crisis phenomena in complex nonlinear systems. In our study, we analyze the 4 most important crisis periods in the history of the stock market – 1929, 1987, 2008 and the COVID-19 pandemic in 2020. In particular, using the sliding window procedure, we analyze how the complexity of the studied crashes changes over time, and how it depends on events such as the global stock market crises. For comparative analysis, we take classical Shannon entropy, approximation and permutation entropy, recurrent diagrams, and their fuzzy alternatives. Each of the fuzzy modifications uses three membership functions: exponential, sigmoidal, and simple linear functions. Empirical results demonstrate the fact that the fuzzification of classical entropy and recurrence approaches opens up prospects for constructing effective and reliable indicators-precursors of critical events in the studied complex systems uk
dc.language.iso en uk
dc.publisher Kyiv National Economic University named after Vadym Hetman uk
dc.subject crash uk
dc.subject critical event uk
dc.subject stock market uk
dc.subject entropy uk
dc.subject recurrence plot uk
dc.subject fuzzy set theory uk
dc.subject indicator-precursor of crisis phenomena uk
dc.subject fuzzy measure of complexity uk
dc.title Identifying stock market crashes by fuzzy measures of complexity uk
dc.type Article uk


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