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http://ds.knu.edu.ua/jspui/handle/123456789/2284| Title: | Recurrence based entropies for sustainability indices |
| Authors: | Derbentsev, Vasily Semerikov, Serhii Семеріков, Сергій Олексійович Семериков, Сергей Алексеевич Serdyuk, Olexander Solovieva, Victoria Soloviev, Vladimir |
| Keywords: | Dow Jones Sustainability Indices Recurrence Based Entropies Sustainability Indices |
| Issue Date: | 2020 |
| Publisher: | EDP Sciences |
| Citation: | Recurrence based entropies for sustainability indices [Electronic resource] / Vasily Derbentsev, Serhiy Semerikov, Olexander Serdyuk, Victoria Solovieva, Vladimir Soloviev // The International Conference on Sustainable Futures: Environmental, Technological, Social and Economic Matters (ICSF 2020). Kryvyi Rih, Ukraine, May 20-22, 2020 / Eds. : S. Semerikov, S. Chukharev, S. Sakhno, A. Striuk, V. Osadchyi, V. Solovieva, T. Vakaliuk, P. Nechypurenko, O. Bondarenko, H. Danylchuk // E3S Web of Conferences. – 2020. – Volume 166. – Article 13031. – Access mode : https://www.e3s-conferences.org/articles/e3sconf/abs/2020/26/e3sconf_icsf2020_13031/e3sconf_icsf2020_13031.html. – DOI : 10.1051/e3sconf/202016613031 |
| Series/Report no.: | E3S Web of Conferences;166 |
| Abstract: | Abstract. The work is devoted to a comparative analysis complexity of traditional stock market indices and social responsible indices in the example Dow Jones Sustainability Indices and Dow Jones Industrial Average. As measures of complexity, the entropies of various recurrence indicators are chosen – the entropy of the diagonal lines of the recurrence diagram, recurrence probability density entropy and recurrence entropy. It is shown that these measures make it possible to establish that the socially responsive Dow Jones index is more complex. A comprehensive assessment of complexity reveals the nature of the effectiveness of social responsible indices and opens up new opportunities for investor risk management. |
| URI: | https://www.e3s-conferences.org/articles/e3sconf/abs/2020/26/e3sconf_icsf2020_13031/e3sconf_icsf2020_13031.html http://ds.knu.edu.ua/jspui/handle/123456789/2284 |
| ISSN: | 2267-1242 |
| Appears in Collections: | Наукові статті |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Recurrence based entropies for sustainability.pdf | article | 2.01 MB | Adobe PDF | View/Open |
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