Rani signali faznog prijelaza

master's thesis

• Title (english): Early warning signals of phase transition
• Author: Petar Perković
• Mentor: Davor Horvatić (mentor)
• Committee member: Davor Horvatić (predsjednik povjerenstva)
• Committee member: Krešimir Kumerički (član povjerenstva)
• Committee member: Željko Skoko (član povjerenstva)
• Committee member: Danko Radić (član povjerenstva)
• Committee member: Mihael Makek (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Physics); Zagreb
• Defense date and country: 2018-12-11, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Physics

Abstract

U ovom radu predstavljena je metodologija za dobivanje ranih signala faznog prijelaza u složenim sustavima uzimajući u obzir povezanost medu članovima sustava. Metodologija je primijenjena na sustav od devet različitih kriptovaluta. Korištena je transferna entropija za dobivanje težinskih usmjerenih veza između različitih članova sustava. Pomoću dobivenih veza konstruirana je usmjerena mreža kriptovaluta u različitim vremenskim točkama. Iz promatranja ponašanja mreže kroz vrijeme uočeno je povećanje povezanosti u razdobljima naglih promjena na tržištu. Uveden je indeks povezanosti i uspoređen s kretanjem vrijednosti bitcoina. Dobiveni rezultati ukazuju na mogućnost primjene korištene metodologije za otkrivanje ranih signala u složenim sustavima.

Abstract (english)

In this thesis, we present the methodology for obtaining early warning signals of the phase transition for complex systems by taking into account the relationship between elements that build specific system. The methodology is applied to a system of nine different cryptocurrencies. Transfer entropy was used to obtain directed weighted links between different system members. By using obtained links a directed network of cryptocurrencies is constructed at different time points. From the observation of the network’s behavior over time, we notice an increase in connectedness in times of severe market changes. The connectedness index is introduced and compared with the movement of bitcoin price. The obtained results indicate the possibility of using the presented methodology for detecting early warning signals in complex systems.

• Keywords: rani signali; fazni prijelaz; transferna entropija; usmjerena mreža; kriptovalute
• Keywords (english): early warning signals; phase transition; transfer entropy; directed network; cryptocurrencies
• Language: croatian
• URN:NBN: urn:nbn:hr:217:947855
• Study programme: Title: Physics; specializations in: Research; Course: Research; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra fizike (magistar/magistra fizike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2019-01-16 12:23:03