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  1. Article ; Online: A new buffering theory of social support and psychological stress.

    Bekiros, Stelios / Jahanshahi, Hadi / Munoz-Pacheco, Jesus M

    PloS one

    2022  Volume 17, Issue 10, Page(s) e0275364

    Abstract: A dynamical model linking stress, social support, and health has been recently proposed and numerically analyzed from a classical point of view of integer-order calculus. Although interesting observations have been obtained in this way, the present work ... ...

    Abstract A dynamical model linking stress, social support, and health has been recently proposed and numerically analyzed from a classical point of view of integer-order calculus. Although interesting observations have been obtained in this way, the present work conducts a fractional-order analysis of that model. Under a periodic forcing of an environmental stress variable, the perceived stress has been analyzed through bifurcation diagrams and two well-known metrics of entropy and complexity, such as spectral entropy and C0 complexity. The results obtained by numerical simulations have shown novel insights into how stress evolves with frequency and amplitude of the perturbation, as well as with initial conditions for the system variables. More precisely, it has been observed that stress can alternate between chaos, periodic oscillations, and stable behaviors as the fractional order varies. Moreover, the perturbation frequency has revealed a narrow interval for the chaotic oscillations, while its amplitude may present different values indicating a low sensitivity regarding chaos generation. Also, the perceived stress has been noted to be highly sensitive to initial conditions for the symptoms of stress-related ill-health and for the social support received from family and friends. This work opens new directions of research whereby fractional calculus might offer more insight into psychology, life sciences, mental disorders, and stress-free well-being.
    MeSH term(s) Calculi ; Entropy ; Humans ; Nonlinear Dynamics ; Social Support ; Stress, Psychological
    Language English
    Publishing date 2022-10-12
    Publishing country United States
    Document type Journal Article
    ZDB-ID 2267670-3
    ISSN 1932-6203 ; 1932-6203
    ISSN (online) 1932-6203
    ISSN 1932-6203
    DOI 10.1371/journal.pone.0275364
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  2. Article: The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets.

    Lahmiri, Salim / Bekiros, Stelios

    Chaos, solitons, and fractals

    2020  Volume 138, Page(s) 109936

    Abstract: We explore the evolution of the informational efficiency in 45 cryptocurrency markets and 16 international stock markets before and during COVID-19 pandemic. The measures of Largest Lyapunov Exponent (LLE) based on the Rosenstein's method and Approximate ...

    Abstract We explore the evolution of the informational efficiency in 45 cryptocurrency markets and 16 international stock markets before and during COVID-19 pandemic. The measures of Largest Lyapunov Exponent (LLE) based on the Rosenstein's method and Approximate Entropy (ApEn), which are robust to small samples, are applied to price time series in order to estimate degrees of stability and irregularity in cryptocurrency and international stock markets. The amount of regularity infers on the unpredictability of fluctuations. The
    Keywords covid19
    Language English
    Publishing date 2020-05-28
    Publishing country England
    Document type Journal Article
    ZDB-ID 2003919-0
    ISSN 1873-2887 ; 0960-0779
    ISSN (online) 1873-2887
    ISSN 0960-0779
    DOI 10.1016/j.chaos.2020.109936
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  3. Article ; Online: Randomness, Informational Entropy, and Volatility Interdependencies among the Major World Markets: The Role of the COVID-19 Pandemic.

    Lahmiri, Salim / Bekiros, Stelios

    Entropy (Basel, Switzerland)

    2020  Volume 22, Issue 8

    Abstract: The main purpose of our paper is to evaluate the impact of the COVID-19 pandemic on randomness in volatility series of world major markets and to examine its effect on their interconnections. The data set includes equity (Bitcoin and Standard and Poor's ... ...

    Abstract The main purpose of our paper is to evaluate the impact of the COVID-19 pandemic on randomness in volatility series of world major markets and to examine its effect on their interconnections. The data set includes equity (Bitcoin and Standard and Poor's 500), precious metals (Gold and Silver), and energy markets (West Texas Instruments, Brent, and Gas). The generalized autoregressive conditional heteroskedasticity model is applied to the return series. The wavelet packet Shannon entropy is calculated from the estimated volatility series to assess randomness. Hierarchical clustering is employed to examine interconnections between volatilities. We found that (
    Language English
    Publishing date 2020-07-30
    Publishing country Switzerland
    Document type Journal Article
    ZDB-ID 2014734-X
    ISSN 1099-4300 ; 1099-4300
    ISSN (online) 1099-4300
    ISSN 1099-4300
    DOI 10.3390/e22080833
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  4. Article: Renyi entropy and mutual information measurement of market expectations and investor fear during the COVID-19 pandemic.

    Lahmiri, Salim / Bekiros, Stelios

    Chaos, solitons, and fractals

    2020  Volume 139, Page(s) 110084

    Abstract: The COVID-19 pandemic has seriously affected world economies. In this regard, it is expected that information level and sharing between equity, digital currency, and energy markets has been altered due to the pandemic outbreak. Specifically, the ... ...

    Abstract The COVID-19 pandemic has seriously affected world economies. In this regard, it is expected that information level and sharing between equity, digital currency, and energy markets has been altered due to the pandemic outbreak. Specifically, the resulting twisted risk among markets is presumed to rise during the abnormal state of world economy. The purpose of the current study is twofold. First, by using Renyi entropy, we analyze the multiscale entropy function in the return time series of Bitcoin, S&P500, WTI, Brent, Gas, Gold, Silver, and investor fear index represented by VIX. Second, by estimating mutual information, we analyze the information sharing between these markets. The analyses are conducted before and during the COVID-19 pandemic. The empirical results from Renyi entropy indicate that for all market indices, randomness and disorder are more concentrated in less probable events. The empirical results from mutual information showed that the information sharing network between markets has changed during the COVID-19 pandemic. From a managerial perspective, we conclude that during the pandemic (
    Keywords covid19
    Language English
    Publishing date 2020-07-10
    Publishing country England
    Document type Journal Article
    ZDB-ID 2003919-0
    ISSN 1873-2887 ; 0960-0779
    ISSN (online) 1873-2887
    ISSN 0960-0779
    DOI 10.1016/j.chaos.2020.110084
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  5. Article: SBDiEM: A new mathematical model of infectious disease dynamics.

    Bekiros, Stelios / Kouloumpou, Dimitra

    Chaos, solitons, and fractals

    2020  Volume 136, Page(s) 109828

    Abstract: A worldwide multi-scale interplay among a plethora of factors, ranging from micro-pathogens and individual or population interactions to macro-scale environmental, socio-economic and demographic conditions, entails the development of highly sophisticated ...

    Abstract A worldwide multi-scale interplay among a plethora of factors, ranging from micro-pathogens and individual or population interactions to macro-scale environmental, socio-economic and demographic conditions, entails the development of highly sophisticated mathematical models for robust representation of the contagious disease dynamics that would lead to the improvement of current outbreak control strategies and vaccination and prevention policies. Due to the complexity of the underlying interactions, both deterministic and stochastic epidemiological models are built upon incomplete information regarding the infectious network. Hence, rigorous mathematical epidemiology models can be utilized to combat epidemic outbreaks. We introduce a new spatiotemporal approach (SBDiEM) for modeling, forecasting and nowcasting infectious dynamics, particularly in light of recent efforts to establish a global surveillance network for combating pandemics with the use of artificial intelligence. This model can be adjusted to describe past outbreaks as well as COVID-19. Our novel methodology may have important implications for national health systems, international stakeholders and policy makers.
    Keywords covid19
    Language English
    Publishing date 2020-04-23
    Publishing country England
    Document type Journal Article
    ZDB-ID 2003919-0
    ISSN 1873-2887 ; 0960-0779
    ISSN (online) 1873-2887
    ISSN 0960-0779
    DOI 10.1016/j.chaos.2020.109828
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  6. Article ; Online: Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS

    Stelios Bekiros / Christos Avdoulas

    Forecasting, Vol 2, Iss 6, Pp 102-

    A Forecasting Analysis

    2020  Volume 129

    Abstract: We examined the dynamic linkages among money market interest rates in the so-called “BRICS” countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury ... ...

    Abstract We examined the dynamic linkages among money market interest rates in the so-called “BRICS” countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury bills rates covering the period from January 2005 to August 2019. A long-run relationship among interest rates was established by employing the Vector Error Correction modeling (VECM), which revealed the validation of the Expectation Hypothesis Theory (EH) of the term structure of interest rates, taking into account long-run deviations from equilibrium and inherent nonlinearities. We unveiled short-run dynamic adjustments for the term structure of the BRICS, subject to regime switches. We then used Markov Switching Vector Error Correction models (MS-VECM) to forecast them dynamically during an out-of-sample period of May 2016 through August 2019. The MSIH-VECM forecasts were found to be superior to the VECM approaches. The novelty of our paper is mainly due to the exploration of the possibility of parameter instability as a crucial factor, which might explain the rejection of the restricted version of the cointegration space, and on the dynamic out-of-sample forecasts of the term structure over a more recent time span in order to assess further the usefulness of our nonlinear MS-VECM characterization of the term structure, capturing the effects of the global and domestic financial crisis.
    Keywords BRICS ; term structure ; cointegration dynamics ; Markov-switching ; forecasting ; Science (General) ; Q1-390 ; Mathematics ; QA1-939
    Subject code 332
    Language English
    Publishing date 2020-05-01T00:00:00Z
    Publisher MDPI AG
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  7. Article ; Online: Randomness, Informational Entropy, and Volatility Interdependencies among the Major World Markets

    Salim Lahmiri / Stelios Bekiros

    Entropy, Vol 22, Iss 833, p

    The Role of the COVID-19 Pandemic

    2020  Volume 833

    Abstract: The main purpose of our paper is to evaluate the impact of the COVID-19 pandemic on randomness in volatility series of world major markets and to examine its effect on their interconnections. The data set includes equity (Bitcoin and Standard and Poor’s ... ...

    Abstract The main purpose of our paper is to evaluate the impact of the COVID-19 pandemic on randomness in volatility series of world major markets and to examine its effect on their interconnections. The data set includes equity (Bitcoin and Standard and Poor’s 500), precious metals (Gold and Silver), and energy markets (West Texas Instruments, Brent, and Gas). The generalized autoregressive conditional heteroskedasticity model is applied to the return series. The wavelet packet Shannon entropy is calculated from the estimated volatility series to assess randomness. Hierarchical clustering is employed to examine interconnections between volatilities. We found that ( i ) randomness in volatility of the S&P500 and in the volatility of precious metals were the most affected by the COVID-19 pandemic, while ( ii ) randomness in energy markets was less affected by the pandemic than equity and precious metal markets. Additionally, ( iii ) we showed an apparent emergence of three volatility clusters: precious metals (Gold and Silver), energy (Brent and Gas), and Bitcoin and WTI, and ( iv ) the S&P500 volatility represents a unique cluster, while ( v ) the S&P500 market volatility was not connected to the volatility of Bitcoin, energy, and precious metal markets before the pandemic. Moreover, ( vi ) the S&P500 market volatility became connected to volatility in energy markets and volatility in Bitcoin during the pandemic, and ( vii ) the volatility in precious metals is less connected to volatility in energy markets and to volatility in Bitcoin market during the pandemic. It is concluded that ( i ) investors may diversify their portfolios across single constituents of clusters, ( ii ) investing in energy markets during the pandemic period is appealing because of lower randomness in their respective volatilities, and that ( iii ) constructing a diversified portfolio would not be challenging as clustering structures are fairly stable across periods.
    Keywords COVID-19 pandemic ; Bitcoin ; stock market ; precious metal market ; energy market ; GARCH ; Science ; Q ; Astrophysics ; QB460-466 ; Physics ; QC1-999 ; covid19
    Subject code 330
    Language English
    Publishing date 2020-07-01T00:00:00Z
    Publisher MDPI AG
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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    Inter-library loan at ZB MED

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  8. Article ; Online: Renyi entropy and mutual information measurement of market expectations and investor fear during the COVID-19 pandemic

    Lahmiri, Salim / Bekiros, Stelios

    Chaos, Solitons & Fractals

    2020  Volume 139, Page(s) 110084

    Keywords General Mathematics ; covid19
    Language English
    Publisher Elsevier BV
    Publishing country us
    Document type Article ; Online
    ZDB-ID 2003919-0
    ISSN 1873-2887 ; 0960-0779
    ISSN (online) 1873-2887
    ISSN 0960-0779
    DOI 10.1016/j.chaos.2020.110084
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  9. Article ; Online: The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets

    Lahmiri, Salim / Bekiros, Stelios

    Chaos, Solitons & Fractals

    2020  Volume 138, Page(s) 109936

    Keywords General Mathematics ; covid19
    Language English
    Publisher Elsevier BV
    Publishing country us
    Document type Article ; Online
    ZDB-ID 2003919-0
    ISSN 1873-2887 ; 0960-0779
    ISSN (online) 1873-2887
    ISSN 0960-0779
    DOI 10.1016/j.chaos.2020.109936
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

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  10. Article ; Online: Laguerre Wavelet Approach for a Two-Dimensional Time-Space Fractional Schrödinger Equation.

    Bekiros, Stelios / Soradi-Zeid, Samaneh / Mou, Jun / Yousefpour, Amin / Zambrano-Serrano, Ernesto / Jahanshahi, Hadi

    Entropy (Basel, Switzerland)

    2022  Volume 24, Issue 8

    Abstract: This article is devoted to the determination of numerical solutions for the two-dimensional time-spacefractional Schrödinger equation. To do this, the unknown parameters are obtained using the Laguerre wavelet approach. We discretize the problem by using ...

    Abstract This article is devoted to the determination of numerical solutions for the two-dimensional time-spacefractional Schrödinger equation. To do this, the unknown parameters are obtained using the Laguerre wavelet approach. We discretize the problem by using this technique. Then, we solve the discretized nonlinear problem by means of a collocation method. The method was proven to give very accurate results. The given numerical examples support this claim.
    Language English
    Publishing date 2022-08-11
    Publishing country Switzerland
    Document type Journal Article
    ZDB-ID 2014734-X
    ISSN 1099-4300 ; 1099-4300
    ISSN (online) 1099-4300
    ISSN 1099-4300
    DOI 10.3390/e24081105
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