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Lyapunov exponent for the construction of crisis phenomena precursors at stock markets
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| dc.contributor.author | Соловйов, Володимир Миколайович | |
| dc.contributor.author | Соловйова, Вікторія Володимирівна | |
| dc.contributor.author | Тулякова, А. Ш. | |
| dc.date.accessioned | 2020-01-01T15:04:09Z | |
| dc.date.available | 2020-01-01T15:04:09Z | |
| dc.date.issued | 2010-11-01 | |
| dc.identifier.citation | Soloviev V. Lyapunov exponent for the construction of crisis phenomena precursors at stock markets / V. Soloviev, V. Solovieva, A. Tuliakova // Цифрова економіка : зб. матер. ІІ Національної наук.-метод. конф. (м. Київ, 17-18 жовтня 2019 р.). - Київ, 2019. - С. 495-499. | uk_UA |
| dc.identifier.isbn | 978-966-926-312-4 | |
| dc.identifier.uri | http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3571 | |
| dc.identifier.uri | https://doi.org/10.31812/123456789/3571 | |
| dc.description | 1. Soloviev, V., Belinskij, A.: Complex Systems Theory and Crashes of Cryptocurrency Market. CCIS, 1007, 276-297 (2019) 2. Soloviev, V., Belinskij, A., Solovieva, V.: Entropy analysis of crisis phenomena for DJIA index. CEUR Workshop Proceedings, 2393, 434–449 (2019). http://ceur-ws.org/Vol-2393/paper_375.pdf 3. Belinskyi, A., Soloviev, V., Semerikov, S., Solovieva, V.: Detecting stock crashes using Levy distribution. CEUR Workshop Proceedings, 2422, 420–433 (2019). http://ceur-ws.org/Vol-2422/paper_34.pdf 4. Soloviev, V., Solovieva, V., Tuliakova, A., Ivanova, M.: Construction of crisis precursors in multiplex networks. Advances in Economics, Business and Management Research, 99, 361-366 (2019) 5.https://en.wikipedia.org/wiki/List_of_stock_market_crashes_and_bear _markets 6. Gao, J., Hu, J., Tung, W.-W., Zheng, Y.: Multiscale analysis of economic time series by scale-dependent Lyapunov exponent. Quantitative Finance, 13(2), 1-10 (2011) DOI:10.1080/14697688.2011.580774 7. Soloviev, V., Stratiychuk, I.: Use of indicator-precursors of crisis phenomena of the financial market on the basis of the scale-dependent Lyapunov exponent. Problemy ekonomiky. N2, 279-283 (2013) (in ukranian) 8. https://finance.yahoo.com/world-indices | |
| dc.description.abstract | We briefly describe the idea and the formal foundations of the method, introduce new measures of complexity and illustrate their effectiveness with the example of the Dow Jones index. As a tool, we choose the scale-dependent Lyapunov exponent (SDLE). | uk_UA |
| dc.language.iso | en | uk_UA |
| dc.publisher | КНЕУ | uk_UA |
| dc.subject | SDLE | uk_UA |
| dc.title | Lyapunov exponent for the construction of crisis phenomena precursors at stock markets | uk_UA |
| dc.type | Article | uk_UA |
