摘要翻译:
通过最小生成树研究了日本股票市场的网络结构。我们定义了分组系数来检验传统的按产业类别分组的有效性,并发现分组系数有下降的趋势。这一现象支持了全球化对市场日益增长的外部影响。为了减少这一影响,我们采用了标准普尔500指数作为国际市场,并消除了它与每只股票的相关性。与最初的分析相比,我们发现这次测量中更强的分组性,这符合我们的假设,即国际市场对日本市场的影响。
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英文标题:
《Group dynamics of the Japanese market》
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作者:
Woo-Sung Jung, Okyu Kwon, Fengzhong Wang, Taisei Kaizoji, Hie-Tae
Moon, H. Eugene Stanley
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最新提交年份:
2007
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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
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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。
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英文摘要:
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences on the market due to the globalization. To reduce this influence, we used S&P500 index as the international market and removed its correlation with every stock. We found stronger grouping in this measurement, compared to the original analysis, which agrees with our assumption that the international market influences to the Japanese market.
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PDF链接:
https://arxiv.org/pdf/0708.0562