Browsing by Author "Soloviova, Viktoriia"

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    Identifying stock market crashes by fuzzy measures of complexity
    (ДВНЗ «Київський національний економічний університет імені Вадима Гетьмана», 2021) Bielinskyi, Andrii; Soloviov, Volodymyr; Semerikov, Serhii; Soloviova, Viktoriia
    This study, for the first time, presents the possibility of using fuzzy set theory in combination with information theory and recurrent analysis to construct indicators (indicators-precursors) of crisis phenomena in complex nonlinear systems. In our study, we analyze the 4 most important crisis periods in the history of the stock market – 1929, 1987, 2008 and the COVID-19 pandemic in 2020. In particular, using the sliding window procedure, we analyze how the complexity of the studied crashes changes over time, and how it depends on events such as the global stock market crises. For comparative analysis, we take classical Shannon entropy, approximation and permutation entropy, recurrent diagrams, and their fuzzy alternatives. Each of the fuzzy modifications uses three membership functions: exponential, sigmoidal, and simple linear functions. Empirical results demonstrate the fact that the fuzzification of classical entropy and recurrence approaches opens up prospects for constructing effective and reliable indicators-precursors of critical events in the studied complex systems.
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    The States of Irreversibility in the Energy-Related Markets and their Identification
    (Черкаський державний технологічний університет, 2024-05) Bielinskyi, Andrii; Бєлінський, Андрій Олександрович; Soloviov, Volodymyr; Соловйов, Володимир Миколайович; Matviichuk, Andrii; Матвійчук, Андрій Вікторович; Soloviova, Viktoriia; Soloviova, Viktoriia; Kmytiuk, Tetiana; Кмитюк, Тетяна Леонідівна; Velykoivanenko, Halyna; Великоіваненко, Галина Іванівна
    The energy sector plays a crucial role in a nation's economic development by addressing imbalances between production and consumption of energy resources. Numerous factors can influence the prices of oil, and fluctuations in one commodity can trigger short-term, medium-term, or long-term fluctuations in another. Interconnectedness among the commodities of the energy sector forms a highly complex, multi-parametric system characterized by simultaneously operating trends that are both contrary to previous dynamics and more predictable periods. Regimes of unpredictability exemplify the irreversibility of the studied system, and a loss of irreversibility may indicate destructive processes. Consequently, this study presents indicators-precursors of crisis events, characterized by a decrease in irreversibility as they occur. Using the example of daily West Texas Intermediate (WTI) spot prices (US$/BBL) from January 2, 1986 to March 18, 2024, we provide an indicator that precedes crisis states in the oil market. The construction of such an indicator is based on the algorithm of permutation patterns. This study demonstrates that the irreversibility of the system can serve as a precursor to financial crises. This work is a part of the applied research “Monitoring, Forecasting, and Prevention of Crisis Phenomena in Complex Socio-Economic Systems”, which is funded by the Ministry of Education and Science of Ukraine (project No. 0122U001694). The authors would also like to thank the Armed Forces of Ukraine for providing security to perform this work. This work has become possible only because of the resilience and courage of the Ukrainian Army.