Complex networks theory and precursors of financial crashes

- Soloviev, V.N. (orcid.org/0000-0002-4945-202X), Solovieva, Victoria (orcid.org/0000-0002-8090-9569), Tuliakova, Anna, Hostryk, Alexey (orcid.org/0000-0001-6143-6797) and Pichl, Lukáš (2021) Complex networks theory and precursors of financial crashes 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. 53-67. ISSN 1613-0073

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Abstract

Based on the network paradigm of complexity in the work, a systematic analysis of the dynamics of the largest stock markets in the world and cryptocurrency market has been carried out. According to the algorithms of the visibility graph and recurrence plot, the daily values of stock and crypto indices are converted into a networks and multiplex networks, the spectral and topological properties of which are sensitive to the critical and crisis phenomena of the studied complex systems. This work is the first to investigate the network properties of the crypto index CCI30 and the multiplex network of key cryptocurrencies. It is shown that some of the spectral and topological characteristics can serve as measures of the complexity of the stock and crypto market, and their specific behaviour in the pre-crisis period is used as indicators-precursors of critical phenomena.

Item Type:	Article
Keywords:	crypto index, visibility graph, complexity measures of financial crashes
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:	24 Nov 2021 22:44
Last Modified:	24 Nov 2021 22:44
URI:	https://lib.iitta.gov.ua/id/eprint/727234

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