Mezentsev O. Modelling of the critical and crisis events in currency market

Dissertation contains the results of design of the crisis phenomena at the currency market on subsoil of complex systems theory. It is proved in work, that classic approaches of fundamental and technical analysis do not allow to carry out reliable prognoses in relation to the loss of instability of currency market and forming of the crisis phenomenon. By a fresh certificate there is surprise of 2007-2009 world crisis. It is shown that a modern currency market is the complex dynamic system which can be described the plural of fundamental properties: non-linearity, synergy, emergency, fractal. The quantitative indexes of these properties are utillized for the construction of currency crises indicators. It is built indicator-precursor currency crises on the basis of calculation local the Hurst's coefficient, which notedly diminishes in precrisis period. The design of entropy indexes showed that wavelet-entropy was indicator-precursor of the crisis phenomenon, while of Shennon enropy, Tsallis entropy and approximate entropy can be utillized in quality of indicators of currency crisis. For nonstationary and short enough time series the recurrent indicators of currency crises are developed.