英文标题：
《Efficient construction of threshold networks of stock markets》
---
作者：
Xin-Jian Xu, Kuo Wang, Liucun Zhu, Li-Jie Zhang
---
最新提交年份：
2018
---
英文摘要：
Although the threshold network is one of the most used tools to characterize the underlying structure of a stock market, the identification of the optimal threshold to construct a reliable stock network remains challenging. In this paper, the concept of dynamic consistence between the threshold network and the stock market is proposed. The optimal threshold is estimated by maximizing the consistence function. The application of this procedure to stocks belonging to Standard \\& Pool\'s 500 Index from January 2006 to December 2011 yields the threshold value 0.28. In analyzing topological characteristics of the generated network, three globally financial crises can be distinguished well from the evolutionary perspective.
---
中文摘要：
虽然阈值网络是描述股票市场基本结构最常用的工具之一，但确定构建可靠股票网络的最佳阈值仍然具有挑战性。本文提出了阈值网络与股票市场动态一致性的概念。通过最大化一致性函数来估计最优阈值。将此程序应用于2006年1月至2011年12月属于标准普尔500指数的股票，得出的阈值为0.28。在分析生成网络的拓扑特征时，可以从进化的角度很好地区分三次全球金融危机。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--

---
PDF下载：
-->