DocumentCode :
3217965
Title :
Correlation analys is between topological properties and market volatility of stock network based on complex network
Author :
Zhuang Xiao-wei ; Jin Xiu
Author_Institution :
Sch. of Bus. Adm., Northeastern Univ., Shenyang, China
fYear :
2015
fDate :
23-25 May 2015
Firstpage :
2903
Lastpage :
2906
Abstract :
The paper using stocks and the correlation between stocks as network nodes and edge respectively, and applies minimum spanning tree (MST) to construct the network of Shanghai stock market, and calculates the basic topological index of network, then analyses the correlation between these indexes and stock market volatility. The results show that there is a negative correlation between average path length of network and market volatility when market volatility is higher, network contraction is closer; and there is a negative correlation between mean occupation layer and market volatility when the market volatility increases, nodes in the network close to the center node; and there is a positive correlation between the maximum number of links and market volatility when market volatility is higher, connection between the network nodes is strengthener. The paper forecasts the change of volatility in the stock market by analyzing the changing law of topological index of network.
Keywords :
complex networks; network theory (graphs); stock markets; MST; Shanghai stock market; average network path length; complex network; correlation analys; mean occupation layer; minimum spanning tree; network contraction; network nodes; stock market volatility; stock network; topological network index; topological properties; Complex networks; Correlation; Correlation coefficient; Indexes; Market research; Standards; Stock markets; Complex networks; Correlation; Stock; Topological properties;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Control and Decision Conference (CCDC), 2015 27th Chinese
Conference_Location :
Qingdao
Print_ISBN :
978-1-4799-7016-2
Type :
conf
DOI :
10.1109/CCDC.2015.7162422
Filename :
7162422
Link To Document :
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