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http://elibrary.kdpu.edu.ua/xmlui/handle/0564/1154| Назва: | Entropy analysis of dynamic properties of regional stock markets |
| Інші назви: | Энтропийный анализ динамических свойств региональных фондовых рынков |
| Автори: | Danylchuk, H. Derbentsev, V. Соловйов, Володимир Миколайович Sharapov, A. |
| Ключові слова: | complex systems time series regional stock market crisis non-regular dynamics entropy analysis sample entropy Tsallis entropy wavelet entropy |
| Дата публікації: | 2016 |
| Видавництво: | Society for Cultural and Scientific Progress in Central and Eastern Europe |
| Бібліографічний опис: | Danylchuk H. B. Entropy analysis of dynamic properties of regional stock markets / H. Danylchuk, V. Derbentsev, V. Soloviev, A. Sharapov // Science and Education a New Dimension. Economics. – 2016. – Vol. IV (2). – Issue: 94. – P. 15-19. |
| Короткий огляд (реферат): | This paper examines entropy analysis of regional stock markets. We propose and empirically demonstrate the effectiveness of using such entropy as sample entropy, wavelet and Tsallis entropy as a measure of uncertainty and instability of such complex systems as regional stock markets. Our results show that these entropy measures can be effectively used as crisis prediction indicators. |
| Опис: | 1. Sornette D. (2003) Why Stock Markets Crash: Critical Events in Complex Financial Systems. Princeton University Press. 2. Peters, E. E. (1994). Fractal Market Analysis: Applying Chaos Theory to Investment and Economics. John Wiley and Sons. 3. Mantegna R. N. , Stanley H. E. (2000). An Introduction to Econophysics. – Cambridge: Cambridge University Press. 4. Derbentsev V., Serdyuk O., Soloviev V., Sharapov A. Synergetics and Econophysics Research Methods of Dynamic and Structural Properties of Economic Systems. Cherkasy: Brama-Ukraine, 2010. – 300 p. 5. Chyumak O. Entropy and Fractals in Data Analysis. Moscow: Regular and Chaotic Dynamics, 2011. – 164 p. 6. Weidlich W. Socio-Dynamics: A Systematic Approach to Mathematical Modelling in the Social Science. Taylor and Francis, London, 2002. 7. Soloviev V., Danilchuk H., Serdyuk O.A. Research of the crises phenomena on time series basis with help of entropy characteristics // Information Technologies, Management and Society. Theses of the International Conference. Information Technologies and Management. 2008 April 10- 11, Information System Institute, Riga, Latvia. – P.41-42. 8. Soloviev V., Serdyuk O. Using of wavelet entropy for analysis of complex economic systems // Econophysics Colloquium and beyond, Alcona, Italy, September 27-29, 2007. 9. Joshua S., Richman J., Moorman R. Physiological timeseries analysis using approximate entropy and sample entropy // Am. J Physiol. Heart Circ. Physiol. 278: H2039- H2049, 2000. 10. Pincus S.M. (1991) Approximate entropy as a measure of system complexity. Proc. Natl. Acad. Sci. Vol.88. P. 2297-2301. 11. Tsallis C. Nonextensive Statistics: Theoretical, Experimental and Computational Evidences and Connections / C. Tsallis // Brazilian Journal of Physics. – Vol. 29. – №. 1. – March, 1999. 12. Tsallis C. Introduction to Nonextnsive Statistical Mechanics, Approaching a Complex Word / C. Tsallis // Springer, New York, 2009. – 382 p. 13. Rosson O.A, Blanco S, Yordanova J, et al. Wavelet entropy: a new tool for analysis of short duration brain electrical signals[J]. J Neurosci Meth, vol. 105, P. 65-75, Jan. 2001. 14. Quiroga, R.Q; Rosso, O.A; Basar E.; Schürmann M. Wavelet entropy in event-related potentials: A new method shows ordering of EEG oscillations. Biol. Cybern. 2001, 84, 291–299. 15. http://finance.yahoo.com. |
| URI (Уніфікований ідентифікатор ресурсу): | http://elibrary.kdpu.edu.ua/handle/0564/1154 https://doi.org/10.31812/0564/1154 |
| ISSN: | 2308-5258 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики |
Файли цього матеріалу:
| Файл | Опис | Розмір | Формат | |
|---|---|---|---|---|
| Danylchuk_Derbentsev_Soloviev_Sharapov.pdf | Article | 1.65 MB | Adobe PDF | Переглянути/Відкрити |
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