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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3210| Назва: | Detecting Stock Crashes Using Levy Distribution |
| Автори: | Bielinskyi, Andrii Соловйов, Володимир Миколайович Семеріков, Сергій Олексійович Solovieva, Viktoria |
| Ключові слова: | alpha-stable distribution stock market crash indicator-predictor indicator of critical events log-returns fluctuations Dow Jones Industrial Average Index |
| Дата публікації: | 1-сер-2019 |
| Видавництво: | Arnold Kiv, Serhiy Semerikov, Vladimir Soloviev, Liubov Kibalnyk, Hanna Danylchuk, Andriy Matviychuk |
| Бібліографічний опис: | Bielinskyi A. Detecting Stock Crashes Using Levy Distribution [Electronic resource] / Andrii Bielinskyi, Vladimir Soloviev, Serhiy Semerikov, Viktoria Solovieva // Experimental Economics and Machine Learning for Prediction of Emergent Economy Dynamics : Proceedings of the Selected Papers of the 8th International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2 2019), Odessa, Ukraine, May 22-24, 2019 / Edited by : Arnold Kiv, Serhiy Semerikov, Vladimir Soloviev, Liubov Kibalnyk, Hanna Danylchuk, Andriy Matviychuk. – (CEUR Workshop Proceedings, Vol. 2422). – P. 420-433. – Access mode : http://ceur-ws.org/Vol-2422/paper34.pdf |
| Короткий огляд (реферат): | In this paper we study the possibility of construction indicators-precursors relying on one of the most power-law tailed distributions – Levy’s stable distribution. Here, we apply Levy’s parameters for 29 stock indices for the period from 1 March 2000 to 28 March 2019 daily values and show their effectiveness as indicators of crisis states on the example of Dow Jones Industrial Average index for the period from 2 January 1920 to 2019. In spite of popularity of the Gaussian distribution in financial modeling, we demonstrated that Levy’s stable distribution is more suitable due to its theoretical reasons and analysis results. And finally, we conclude that stability α and skewness β parameters of Levy’s stable distribution which demonstrate characteristic behavior for crash and critical states, can serve as an indicator-precursors of unstable states. |
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| URI (Уніфікований ідентифікатор ресурсу): | http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3210 https://doi.org/10.31812/123456789/3210 |
| ISSN: | 1613-0073 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики |
Файли цього матеріалу:
| Файл | Опис | Розмір | Формат | |
|---|---|---|---|---|
| paper34.pdf | Article | 783.94 kB | Adobe PDF | Переглянути/Відкрити |
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