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The lack of reversibility during financial crisis and its identification

SHS Web of Conferences, 2021, Vol.107, p.3002 [Peer Reviewed Journal]

2021. This work is licensed under https://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2261-2424 ;ISSN: 2416-5182 ;EISSN: 2261-2424 ;DOI: 10.1051/shsconf/202110703002

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  • Title:
    The lack of reversibility during financial crisis and its identification
  • Author: Bielinskyi, Andrii ; Hushko, Serhii ; Matviychuk, Andriy ; Serdyuk, Oleksandr ; Semerikov, Serhiy ; Soloviev, Vladimir
  • Danylchuk, H. ; Semerikov, S. ; Kibalnyk, L. ; Chernyak, O. ; Soloviev, V.
  • Subjects: Securities markets ; Stock exchanges
  • Is Part Of: SHS Web of Conferences, 2021, Vol.107, p.3002
  • Description: 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.
  • Publisher: Les Ulis: EDP Sciences
  • Language: English
  • Identifier: ISSN: 2261-2424
    ISSN: 2416-5182
    EISSN: 2261-2424
    DOI: 10.1051/shsconf/202110703002
  • Source: EDP Open
    ROAD: Directory of Open Access Scholarly Resources
    ProQuest Central
    DOAJ Directory of Open Access Journals
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