Irreversibility of financial time series: a case of crisis

- Bielinskyi, Andrii (orcid.org/0000-0002-2821-2895), Hushko, Serhii (orcid.org/0000-0002-4833-3694), Matviychuk, Andriy (orcid.org/0000-0002-8911-5677), Serdyuk, Oleksandr (orcid.org/0000-0002-1230-0305), Semerikov, Serhiy O. (orcid.org/0000-0003-0789-0272) and Soloviev, V.N. (orcid.org/0000-0002-4945-202X) (2021) Irreversibility of financial time series: a case of crisis Proceedings of the Selected and Revised Papers of 9th International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2-MLPEED 2021) Odessa, Ukraine, May 26-28, 2021 (3048). pp. 134-150. ISSN 1613-0073

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Abstract

The focus of this study to measure the varying irreversibility of stock markets. A fundamental idea of this study is that financial systems are complex and nonlinear systems that are presented to be non-Gaussian fractal and chaotic. Their complexity and different aspects of nonlinear properties, such as time irreversibility, vary over time and for a long-range of scales. Therefore, our work presents approaches to measure the complexity and irreversibility of the time series. To the presented methods we include Guzik’s index, Porta’s index, Costa’s index, based on complex networks measures, Multiscale time irreversibility index and based on permutation patterns measures. Our study presents that the corresponding measures can be used as indicators or indicator-precursors of crisis states in stock markets.

Item Type:	Article
Keywords:	irreversibility, stock markets, crisis states
Subjects:	Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 00 Prolegomena. Fundamentals of knowledge and culture. Propaedeutics > 004 Computer science and technology. Computing. Data processing > 004.9 ІКТ ( Application-oriented computer-based techniques ) > 004.94 Simulation Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 3 Social Sciences > 33 Economics. Economic science
Divisions:	Institute for Digitalisation of Education > Department of the Cloud-Вased Systems of ICT in Education
Depositing User:	Сергій Олексійович Семеріков
Date Deposited:	03 Jan 2023 12:18
Last Modified:	03 Jan 2023 12:18
URI:	https://lib.iitta.gov.ua/id/eprint/733701

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