Recurrence based entropies for sustainability indices
| Autor: | Vladimir N. Soloviev, Victoria Solovieva, Serhiy O. Semerikov, Olexander Serdyuk, Vasily Derbentsev |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
lcsh:GE1-350
business.industry 05 social sciences Probability density function 010501 environmental sciences 01 natural sciences Stock market index 0502 economics and business Sustainability Econometrics Entropy (information theory) business 050203 business & management Risk management lcsh:Environmental sciences 0105 earth and related environmental sciences Mathematics |
| Zdroj: | E3S Web of Conferences, Vol 166, p 13031 (2020) |
| ISSN: | 2267-1242 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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