Recurrence based entropies for sustainability indices

- Derbentsev, Vasily, Semerikov, Serhiy O. (orcid.org/0000-0003-0789-0272), Serdiuk, Olexandr, Solovjova, Victoria and Soloviev, V.N. (2020) Recurrence based entropies for sustainability indices E3S Web of Conferences. The International Conference on Sustainable Futures: Environmental, Technological, Social and Economic Matters (ICSF 2020) (166). pp. 1-7. ISSN 2267-1242

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Abstract

The work is devoted to a comparative analysis complexity of traditional stock market indices and social responsible indices in the example Dow Jones Sustainability Indices and Dow Jones Industrial Average. As measures of complexity, the entropies of various recurrence indicators are chosen – the entropy of the diagonal lines of the recurrence diagram, recurrence probability density entropy and recurrence entropy. It is shown that these measures make it possible to establish that the socially responsive Dow Jones index is more complex. A comprehensive assessment of complexity reveals the nature of the effectiveness of social responsible indices and opens up new opportunities for investor risk management.

Item Type: Article
Keywords: Dow Jones Sustainability Indices, Recurrence Based Entropies, Sustainability Indices
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 )
Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 3 Social Sciences > 33 Economics. Economic science
Divisions: Information Technologies and Learning Tools > Department of the Cloud-Вased Systems of ICT in Education
Depositing User: Сергій Олексійович Семеріков
Date Deposited: 04 May 2020 19:50
Last Modified: 12 Aug 2020 03:06
URI: http://lib.iitta.gov.ua/id/eprint/720200

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