Будь ласка, використовуйте цей ідентифікатор, щоб цитувати або посилатися на цей матеріал: http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/4131
Назва: Lyapunov Exponents as Indicators of the Stock Market Crashes
Автори: Соловйов, Володимир Миколайович
Bielinskyi, Andrii
Serdyuk, Oleksandr
Solovieva, Victoria
Семеріков, Сергій Олексійович
Ключові слова: complex dynamic systems
recurrence plot
Lyapunov exponents
stock market crash
indicator of the crash
Дата публікації: 8-лис-2020
Видавництво: Oleksandr Sokolov, Grygoriy Zholtkevych, Vitaliy Yakovyna, Yulia Tarasich, Vyacheslav Kharchenko, Vitaliy Kobets, Olexandr Burov, Serhiy Semerikov, Hennadiy Kravtsov
Бібліографічний опис: Soloviev V. Lyapunov Exponents as Indicators of the Stock Market Crashes [Electronic resource] / Vladimir Soloviev, Andrii Bielinskyi, Oleksandr Serdyuk, Victoria Solovieva, Serhiy Semerikov // ICTERI 2020: ICT in Education, Research and Industrial Applications. Integration, Harmonization and Knowledge Transfer 2020 : Proceedings of the 16th International Conference on ICT in Education, Research and Industrial Applications. Integration, Harmonization and Knowledge Transfer. Volume II: Workshops. Kharkiv, Ukraine, October 06-10, 2020 / Edited by : Oleksandr Sokolov, Grygoriy Zholtkevych, Vitaliy Yakovyna, Yulia Tarasich, Vyacheslav Kharchenko, Vitaliy Kobets, Olexandr Burov, Serhiy Semerikov, Hennadiy Kravtsov // CEUR Workshop Proceedings. – 2020. – Vol. 2732. – Pp. 455-470. – Access mode : http://ceur-ws.org/Vol-2732/20200455.pdf
Короткий огляд (реферат): The frequent financial critical states that occur in our world, during many centuries have attracted scientists from different areas. The impact of similar fluctuations continues to have a huge impact on the world economy, causing instability in it concerning normal and natural disturbances [1]. The an- ticipation, prediction, and identification of such phenomena remain a huge chal- lenge. To be able to prevent such critical events, we focus our research on the chaotic properties of the stock market indices. During the discussion of the re- cent papers that have been devoted to the chaotic behavior and complexity in the financial system, we find that the Largest Lyapunov exponent and the spec- trum of Lyapunov exponents can be evaluated to determine whether the system is completely deterministic, or chaotic. Accordingly, we give a theoretical background on the method for Lyapunov exponents estimation, specifically, we followed the methods proposed by J. P. Eckmann and Sano-Sawada to compute the spectrum of Lyapunov exponents. With Rosenstein’s algorithm, we com- pute only the Largest (Maximal) Lyapunov exponents from an experimental time series, and we consider one of the measures from recurrence quantification analysis that in a similar way as the Largest Lyapunov exponent detects highly non-monotonic behavior. Along with the theoretical material, we present the empirical results which evidence that chaos theory and theory of complexity have a powerful toolkit for construction of indicators-precursors of crisis events in financial markets.
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URI (Уніфікований ідентифікатор ресурсу): http://ceur-ws.org/Vol-2732/20200455.pdf
ISSN: 1613-0073
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