SHS Web Conf.
Volume 107, 20219th International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2 2021)
|Number of page(s)||10|
|Published online||24 May 2021|
The lack of reversibility during financial crisis and its identification
Kryvyi Rih State Pedagogical University, 54 Gagarin Ave., Kryvyi Rih, 50086, Ukraine
2 State University of Economics and Technology, 16 Medychna Str., Kryvyi Rih, 50005, Ukraine
3 Kyiv National Economic University named after Vadym Hetman, 54/1 Peremogy Ave., Kyiv, 03680, Ukraine
4 The Bohdan Khmelnytsky National University of Cherkasy, 81 Shevchenko Blvd., Cherkasy, 18031, Ukraine
5 Kryvyi Rih National University, 11 Vitalii Matusevych Str., Kryvyi Rih, 50027, Ukraine
6 Institute of Information Technologies and Learning Tools of NAES of Ukraine, 9 M. Berlynskoho Str., Kyiv, 04060, Ukraine
7 University of Educational Management, 52-A Sichovykh Striltsiv Str., Kyiv, 04053, Ukraine
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.
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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