کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10480755 | 932924 | 2012 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A study of the interplay between the structure variation and fluctuations of the Shanghai stock market
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
The intricate interplay between the variation of the stock network structure and fluctuations of that stock market is increasingly becoming a hot topic. In this work, employing a moving window to scan through every stock price time series over a period from 2 January 2001 to 7 December 2010, we use mutual information to measure the statistical interdependence between stock prices, and we construct a corresponding network for 501 Shanghai stocks in every given window. Then we address the time-varying relationships between the structure variation and fluctuations for the Shanghai stock market. All the results obtained here indicate that at turning points the growing independence of stocks causes the scalefreeness of the degree distribution to be disrupted, and that the Shanghai stock index has little volatility clustering. In contrast, under normality of the market, the stock networks have characteristics of scalefree degree distribution. Furthermore, the degree of volatility clustering is a little higher.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 391, Issue 11, 1 June 2012, Pages 3198-3205
Journal: Physica A: Statistical Mechanics and its Applications - Volume 391, Issue 11, 1 June 2012, Pages 3198-3205
نویسندگان
Yang Chunxia, Xia Bingying, Hu Sen, Wang Rui,