بررسی توانایی معیار آنتروپی باقی‌مانده تجمعی در پیش‌بینی بحران بوسیله داده‌های شبیه‌ساز بحران نقشه لوجستیک و شاخص کل بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار، گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.

2 دانشجوی کارشناسی ارشد مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی،تهران، ایران

چکیده

     اهمیت پیش‌بینی در مباحث سرمایه‌گذاری موجب شده است که طیف وسیعی از روش‌ها در علوم مختلف جهت پیش‌بینی روندها و قیمت‌های آتی به کار گرفته شوند. پیش‌بینی بحران نیز در سال‌های گذشته نمود بیشتری پیدا کرده است. این موضوع نیازمند بررسی‌های بیشتر دینامیکی سیستم‌های پیچیده می‌باشد تا مشخص شود به هنگام بحران چه تغییراتی در دینامیک سیستم رخ می‌دهد. پژوهش پیش‌رو به بررسی توانایی پیش‌بینی بحران با معیار آنتروپی باقی‌مانده تجمعی در بورس اوراق بهادار تهران (به عنوان یک سیستم پیچیده) پرداخته است. در این پژوهش از داده‌های شبیه‌ساز بحران که بوسیله نقشه لوجستیک ساخته می‌شوند استفاده شده است تا توانایی معیار در حالت نظری بررسی گردد. در حالت کاربردی نیز از داده های شاخص کل بورس اوراق بهادار تهران از مهر 1389 تا شهریور 1398 استفاده شده است. نتایج پژوهش نشان داده است که معیار پیشنهادی توانایی پیش‌بینی بحران را دارد.

کلیدواژه‌ها


عنوان مقاله [English]

Investigating the Crisis Forecasting Ability of the Cumulative Residual Entropy Measure by using Logistic Map Simulation Data and Tehran Stock Exchange Overall Index

نویسندگان [English]

  • Mohammad Osoolian 1
  • Ali Koushki 2
1 sbu
2 Master Student of Financial Management, Department of Management and Accounting, Shahid Beheshti University, Tehran, Iran
چکیده [English]

The importance of forecasting in investment discussions has led to the use of a wide range of methods in various sciences to predict future trends and prices. Crisis forecasting has also become more prominent in recent years. Further investigation of the dynamics of complex systems is required to determine what changes in system dynamics occur during a crisis. This research has investigated the crisis forecasting ability of cumulative residual entropy measure in Tehran Stock Exchange (as a complex system). In this study, crisis simulation data generated by logistic map have been used to examine the ability of the proposed measure theoretically. In the practical case, the data of the overall index of Tehran Stock Exchange from October 2010 to September 2019 has been used. The results showed that the proposed measure can forecast the crisis

کلیدواژه‌ها [English]

  • prediction
  • Crisis
  • Entropy
  • Logistic Map
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