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复杂金融网络的自相似性研究
引用本文:王小霞,李星野.复杂金融网络的自相似性研究[J].数字社区&智能家居,2011(4).
作者姓名:王小霞  李星野
作者单位:上海理工大学管理学院;
摘    要:以股票为节点,选取适当阈值量化股票收益率序列间相关关系从而构建复杂金融网络。基于复杂网络的理论,讨论金融网络的度分布、平均最短路径和聚集系数,发现面向金融时间序列的股票网络具有小世界效应,无标度特性和一个很重要的特性—自相似性。该文用两种方法分析了网络的自相似性:一是提出用网络节点的度构造Hurst指数,定量分析金融网络的自相似性;二是金融网络的平均路径长度和聚集系数定性地分析了复杂网络的自相似性。

关 键 词:金融市场  复杂网络  无标度  自相似  

Self-similarity Research of Stock Complex Networks
WANG Xiao-xia,LI Xing-ye.Self-similarity Research of Stock Complex Networks[J].Digital Community & Smart Home,2011(4).
Authors:WANG Xiao-xia  LI Xing-ye
Affiliation:WANG Xiao-xia,LI Xing-ye(Business School,University of Shanghai for Science and Technology,Shanghai 200093,China)
Abstract:network is constructed from data such as these in the following way: first each stock is treated as a node,the correlation of stock prices' fluctuation is taken as an edge on a network;then some metric and a suitable threshold are chosen.Using the theories and methodology of complex networks,we discussed the degree distribution,average path and clustering coefficient of the stock market network and found that the network has statistical characteristics of networks-small world effect and scale-free property....
Keywords:financial market  complex network  scale-free property  self-similarity  
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