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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/7003Повний запис метаданих
| Поле DC | Значення | Мова |
|---|---|---|
| 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 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики | |
Файли цього матеріалу:
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|---|---|---|---|---|
| Identifying stock market crashes by fuzzy measures of complexity-1.pdf | 3.46 MB | Adobe PDF | Переглянути/Відкрити |
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