Irreversibility of financial time series: a case of crisis

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dc.contributor.authorBielinskyi, Andrii
dc.contributor.authorHushko, Serhii
dc.contributor.authorMatviichuk, Andrii
dc.contributor.authorМатвійчук, Андрій Вікторович
dc.contributor.authorМатвийчук, Андрей Викторович
dc.contributor.authorSerdiuk, Oleksandr
dc.contributor.authorSemerikov, Serhii
dc.contributor.authorSoloviov, Volodymyr
dc.date.accessioned2023-12-15T08:58:00Z
dc.date.available2023-12-15T08:58:00Z
dc.date.issued2021-05
dc.description.abstractThe 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.
dc.identifier.citationIrreversibility of financial time series: a case of crisis [Electronic resource] / Andrii O. Bielinskyi, Serhii V. Hushko, Andriy V. Matviychuk[et al.] // Monitoring, Modeling & Management of Emergent Economy(M3E2–MLPEED 2021) : proceedings of the selected and revised papers of 9th international conference, Odessa, Ukraine, May 26–28, 2021 /[ed.: V. N. Soloviev, S. O. Semerikov]. – Electronic text data. – Odessa, 2021. – Vol. 3048 : Machine Learning for Prediction of Emergent Economy Dynamics. – P. 134–150. – Title from screen.
dc.identifier.issn1613-0073
dc.identifier.urihttps://ir.kneu.edu.ua/handle/2010/41648
dc.language.isoen
dc.publisherCEUR Workshop Proceedings
dc.subjectirreversibility
dc.subjectstock markets
dc.subjectcrisis states
dc.titleIrreversibility of financial time series: a case of crisis
dc.typeArticle
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