Econophysics of sustainability indices

- Bielinskyi, Andrii (orcid.org/0000-0002-2821-2895), Semerikov, Serhiy O. (orcid.org/0000-0003-0789-0272), Serdyuk, Oleksandr, Solovieva, Victoria (orcid.org/0000-0002-8090-9569), Soloviev, V.N. (orcid.org/0000-0002-4945-202X) and Pichl, Lukáš (2020) Econophysics of sustainability indices Proceedings of the Selected Papers of the Special Edition of International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2-MLPEED 2020) Odessa, Ukraine, July 13-18, 2020 (2713). pp. 372-392. ISSN 1613-0073

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Abstract

In this paper, the possibility of using some econophysical methods for quantitative assessment of complexity measures: entropy (Shannon, Approximate and Permutation entropies), fractal (Multifractal detrended fluctuation analysis – MF-DFA), and quantum (Heisenberg uncertainty principle) is investigated. Comparing the capability of both entropies, it is obtained that both measures are presented to be computationally efficient, robust, and useful. Each of them detects patterns that are general for crisis states. The similar results are for other measures. MF-DFA approach gives evidence that Dow Jones Sustainability Index is multifractal, and the degree of it changes significantly at different periods. Moreover, we demonstrate that the quantum apparatus of econophysics has reliable models for the identification of instability periods. We conclude that these measures make it possible to establish that the socially responsive exhibits characteristic patterns of complexity, and the proposed measures of complexity allow us to build indicators-precursors of critical and crisis phenomena.

Item Type:	Article
Keywords:	Dow Jones Sustainability Index, measures of complexity, precursors of stock market crashes
Subjects:	Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 3 Social Sciences > 33 Economics. Economic science Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 5 Мathematics. natural sciences > 53 Physics
Divisions:	Institute for Digitalisation of Education > Department of the Cloud-Вased Systems of ICT in Education
Depositing User:	Сергій Олексійович Семеріков
Date Deposited:	01 Oct 2021 20:05
Last Modified:	01 Oct 2021 20:05
URI:	https://lib.iitta.gov.ua/id/eprint/726861

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