文章基本信息

标题：The lack of reversibility during financial crisis and its identification
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作者：Andrii Bielinskyi ; Serhii Hushko ; Andriy Matviychuk 等
期刊名称：SHS Web of Conferences
印刷版ISSN：2416-5182
电子版ISSN：2261-2424
出版年度：2021
卷号：107
页码：1-10
DOI：10.1051/shsconf/202110703002
语种：English
出版社：EDP Sciences
摘要：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 nonGaussian 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.