Econophysics of sustainability indices

Анотація

In this paper, the possibility of using some econophysical methods for quantitative assessment of complexity measures: entropy (Shannon, Approximate and Permutation entropies), fractal (Multifractal detrended fluctuation analysis – MF-DFA), and quantum (Heisenberg uncertainty principle) is investigated. Comparing the capability of both entropies, it is obtained that both measures are presented to be computationally efficient, robust, and useful. Each of them detects patterns that are general for crisis states. The similar results are for other measures. MF-DFA approach gives evidence that Dow Jones Sustainability Index is multifractal, and the degree of it changes significantly at different periods. Moreover, we demonstrate that the quantum apparatus of econophysics has reliable models for the identification of instability periods. We conclude that these measures make it possible to establish that the socially responsive exhibits characteristic patterns of complexity, and the proposed measures of complexity allow us to build indicators-precursors of critical and crisis phenomena.

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