| Issue |
E3S Web Conf.
Volume 166, 2020
The International Conference on Sustainable Futures: Environmental, Technological, Social and Economic Matters (ICSF 2020)
|
|
|---|---|---|
| Article Number | 13031 | |
| Number of page(s) | 7 | |
| Section | Sustainable Economy | |
| DOI | https://doi.org/10.1051/e3sconf/202016613031 | |
| Published online | 22 April 2020 | |
Recurrence based entropies for sustainability indices
1
Kyiv National Economic University named after Vadym Hetman, 54/1 Peremogy Ave., Kyiv, 03057, Ukraine
2
Kryvyi Rih State Pedagogical University, 54 Gagarina Ave., Kryvyi Rih, 50086, Ukraine
3
Bohdan Khmelnitsky National University of Cherkasy, 81 Shevchenko Blvd., Cherkasy, 18031, Ukraine
4
Kryvyi Rih Economic Institute of Kyiv National Economic University named after Vadym Hetman, 16, Medychna Str., Kryvyi Rih, 50000, Ukraine
* Corresponding author: vikasolovieva2027@gmail.com
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.
© The Authors, published by EDP Sciences, 2020
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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