Recurrence based entropies for sustainability indices
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 ent...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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EDP Sciences
2020-01-01
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| Series: | E3S Web of Conferences |
| Online Access: | https://www.e3s-conferences.org/articles/e3sconf/pdf/2020/26/e3sconf_icsf2020_13031.pdf |
| _version_ | 1818963780018634752 |
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| author | Derbentsev Vasily Semerikov Serhiy Serdyuk Olexander Solovieva Victoria Soloviev Vladimir |
| author_facet | Derbentsev Vasily Semerikov Serhiy Serdyuk Olexander Solovieva Victoria Soloviev Vladimir |
| author_sort | Derbentsev Vasily |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-20T12:50:39Z |
| format | Article |
| id | doaj.art-3737ba0dab744c87b3fd235af2f8edd2 |
| institution | Directory Open Access Journal |
| issn | 2267-1242 |
| language | English |
| last_indexed | 2024-12-20T12:50:39Z |
| publishDate | 2020-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | E3S Web of Conferences |
| spelling | doaj.art-3737ba0dab744c87b3fd235af2f8edd22022-12-21T19:40:11ZengEDP SciencesE3S Web of Conferences2267-12422020-01-011661303110.1051/e3sconf/202016613031e3sconf_icsf2020_13031Recurrence based entropies for sustainability indicesDerbentsev Vasily0Semerikov Serhiy1Serdyuk Olexander2Solovieva Victoria3Soloviev Vladimir4Kyiv National Economic University named after Vadym HetmanKryvyi Rih State Pedagogical UniversityBohdan Khmelnitsky National University of CherkasyKryvyi Rih Economic Institute of Kyiv National Economic University named after Vadym HetmanKryvyi Rih State Pedagogical UniversityThe 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.https://www.e3s-conferences.org/articles/e3sconf/pdf/2020/26/e3sconf_icsf2020_13031.pdf |
| spellingShingle | Derbentsev Vasily Semerikov Serhiy Serdyuk Olexander Solovieva Victoria Soloviev Vladimir Recurrence based entropies for sustainability indices E3S Web of Conferences |
| title | Recurrence based entropies for sustainability indices |
| title_full | Recurrence based entropies for sustainability indices |
| title_fullStr | Recurrence based entropies for sustainability indices |
| title_full_unstemmed | Recurrence based entropies for sustainability indices |
| title_short | Recurrence based entropies for sustainability indices |
| title_sort | recurrence based entropies for sustainability indices |
| url | https://www.e3s-conferences.org/articles/e3sconf/pdf/2020/26/e3sconf_icsf2020_13031.pdf |
| work_keys_str_mv | AT derbentsevvasily recurrencebasedentropiesforsustainabilityindices AT semerikovserhiy recurrencebasedentropiesforsustainabilityindices AT serdyukolexander recurrencebasedentropiesforsustainabilityindices AT solovievavictoria recurrencebasedentropiesforsustainabilityindices AT solovievvladimir recurrencebasedentropiesforsustainabilityindices |