Critical Phenomena Study in Economic Systems Using a Damped Oscillations Model

Danylchuk, H. and Kibalnyk, L. and Serdiuk, O. (2019) Critical Phenomena Study in Economic Systems Using a Damped Oscillations Model. Experimental Economics and Machine Learning for Prediction of Emergent Economy Dynamics, Proceedings of the Selected Papers of the 8th International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2-EEMLPEED 2019), 2224. pp. 211-225. ISSN 1613-0073

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Abstract

The article describes the construction of a model for the analysis and forecasting of critical phenomena in economic systems based on the equation of the damped oscillations. The model of the damped oscillations based on the analysis of wavelet coefficient energy allows identifying critical phenomena, in the first place, crashes. Two parameters of the model, the initial phase and the damping coefficient, are the most appropriate for the analysis and prediction of the critical events in the economic systems. The sequence of steps for conducting research is presented and the possibility to automate the process of predicting critical phenomena is described. Critical phenomenon can be predicted based on the initial phase and the damping coefficient, the prediction horizon depends on the scale at which the model of the damped oscillations was constructed. The study of the results of the model is based on the known crashes and shocks given in the work.

Item Type: Article
Uncontrolled Keywords: crises, crash, time, series, financial, markets, energy, surface, wavelet-coefficients ; damped ; oscillations ; prediction ; horizon
Subjects: Економічні науки
Divisions: Навчально-науковий інститут економіки і права
Depositing User: Наукова Бібліотека
Date Deposited: 04 Jun 2020 14:08
Last Modified: 04 Jun 2020 14:08
URI: http://eprints.cdu.edu.ua/id/eprint/3508

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