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Назва: Lempel-Ziv Complexity and Crises of Cryptocurrency Market
Автори: Соловйов, Володимир Миколайович
Семеріков, Сергій Олексійович
Соловйова, Вікторія Володимирівна
Ключові слова: information theory
time series
complex systems
Kolmogorov complexity
Lempel-Ziv complexity
Дата публікації: 23-бер-2020
Видавництво: Atlantis Press
Бібліографічний опис: Soloviev V. Lempel-Ziv Complexity and Crises of Cryptocurrency Market [Electronic resource] / Vladimir Soloviev, Serhiy Semerikov, Victoria Solovieva // Proceedings of the III International Scientific Congress Society of Ambient Intelligence 2020 (ISC-SAI 2020) / Editors : Serhii Hushko, Victoria Solovieva. – P. 385-388. – (Advances in Economics, Business and Management Research, volume 129). – DOI : 10.2991/aebmr.k.200318.037. – Access mode : https://download.atlantis-press.com/article/125937244.pdf
Серія/номер: Advances in Economics, Business and Management Research;129
Короткий огляд (реферат): The informational (Kolmogorov) measure of complexity in accordance with the Lempel-Ziv algorithm (LZC) is calculated for the logarithmic returns of daily Bitcoin/$ values. The calculations were carried out for a moving window with a variation in its size (50–250 days) in increments of one day in the framework of the implemented coarse graining procedure. It is shown that in both mono-and multi-scaling versions, LZC is sensitive to noticeable fluctuations in the Bitcoin price that occur as a result of critical events in the cryptocurrency market. In equilibrium, stable state, having a relatively low value, LZC rapidly increases immediately before the crisis, which proves the dominance of the chaotic component of the time series. The classification and periodization of crisis phenomena in the cryptocurrency market for the period 2010–2020 has been carried out. The results demonstrate the possibility of using the LZC measure as an indicator-precursor of crisis phenomena in the cryptocurrency market.
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URI (Уніфікований ідентифікатор ресурсу): https://download.atlantis-press.com/article/125937244.pdf
ISBN: 978-94-6252-933-5
ISSN: 2352-5428
Розташовується у зібраннях:Кафедра інформатики та прикладної математики

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