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Recurrence entropy and financial crashes

- Soloviev, V.N., Serdiuk, Olexandr, Semerikov, Serhiy O. (orcid.org/0000-0003-0789-0272) and Kohut-Ferens, Oksana (orcid.org/0000-0003-1888-8397) (2019) Recurrence entropy and financial crashes Advances in Economics, Business and Management Research (99). pp. 385-388. ISSN 2352-5428

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Abstract

Entropy is one of the most frequently and effectively used measure of the complexity of systems of various nature. And if the Shannon's canonical entropy is more a measure of the randomness of the system, then the approximate, sample, permutation and other new type entropy that have appeared recently, exploiting the Shannon entropy form have allowed us to quantify the complexity of the systems in question using fast and efficient algorithms. For the first time, a new type of recurrence entropy is used to analyze the dynamics of financial time series under crashes conditions. It is shown that recurrent entropy can be used as the indicator-predictor of financial crashes.

Item Type: Article
Keywords: recurrence plot, recurrence quantification analysis, recurrence entropy
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: Institute for Digitalisation of Education > Joint laboratory with SIHE “Kryvyi Rih National University”
Depositing User: Сергій Олексійович Семеріков
Date Deposited: 17 Jan 2020 14:46
Last Modified: 17 Jan 2020 14:46
URI: https://lib.iitta.gov.ua/id/eprint/718837

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