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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3179Повний запис метаданих
| Поле DC | Значення | Мова |
|---|---|---|
| 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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(eds.) on ITC in Education, Research, and Industrial Applications. CCIS, vol 1007, pp 276-297. Springer, Cham (2018) 24. Bielinskyi, A., Soloviev, V.: Complex network precursors of crashes and critical events in the cryptocurrency market. In: Kiv, A., Semerikov, S., Soloviev, V., Striuk, A. (eds) Proceedings of the 1st Student Workshop on Computer & Software Engnieering, CEUR Workshop Proceedings (CEUR-WS.org), vol 2292, pp 37-45. Kryvyi Rig, Ukraine (2018) 25. Bandt, C., Pompe, B.: Permutation entropy: A natural complexity measure for time series. Phys. Rev. Lett. 88(17), 2-4 (2002) 26. Shannon E.: A mathematical theory of communication. The Bell System Technical Journal 27(3), 379-423 (1948) 27. Kantz, H., Schreiber, T.: Nonlinear Time Series Analysis. 2 nd edition. Cambridge University Press, London (2003) http://doi.org/10.1017/CBO9780511755798 28. Tsallis C.: Nonextensive Statistics: Theoretical, Experimental and Computational Evidence and Connections. 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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 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики | |
Файли цього матеріалу:
| Файл | Опис | Розмір | Формат | |
|---|---|---|---|---|
| paper_375.pdf | Article | 582.23 kB | Adobe PDF | Переглянути/Відкрити |
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