کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7376010 | 1480078 | 2018 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Constructing financial network based on PMFG and threshold method
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
Based on planar maximally filtered graph (PMFG) and threshold method, we introduced a correlation-based network named PMFG-based threshold network (PTN). We studied the community structure of PTN and applied ISOMAP algorithm to represent PTN in low-dimensional Euclidean space. The results show that the community corresponds well to the cluster in the Euclidean space. Further, we studied the dynamics of the community structure and constructed the normalized mutual information (NMI) matrix. Based on the real data in the market, we found that the volatility of the market can lead to dramatic changes in the community structure, and the structure is more stable during the financial crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 495, 1 April 2018, Pages 104-113
Journal: Physica A: Statistical Mechanics and its Applications - Volume 495, 1 April 2018, Pages 104-113
نویسندگان
Chun-Xiao Nie, Fu-Tie Song,