Author:
Соловйов Володимир Миколайович,Бєлінський, Андрій Олександрович,Matviychuk A. V.,Serdyuk O. A.
Abstract
A comprehensive analysis of permutation measures of the complexity of economic systems is performed by calculating the permutation entropy and the Kullback-Leibler divergence within the algorithm of a sliding window. A comparative analysis of these measures with the daily values of the Dow Jones index, WTI oil prices and Bitcoin prices indicate the possibility of their use as indicators-precursors of the known crashes in selected markets
Publisher
Братислава-Харьков, ВШЭМ – ХНЭУ им. С. Кузнеца