基于互相关的股票网络确定性因素分析 金融市场

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摘要翻译：
股票市场根据影响个股的共同经济因素形成同质的股票群，不同股票之间具有较高的相关性。利用反映共同经济因素本质特征的套利定价模型，研究了市场中共同经济因素在股票网络形成中的作用。我们发现，实际股票网络和模型股票网络之间的一致性程度随着更多的共同经济因素被纳入我们的模型而增加。此外，我们发现，与网络中其他股票有大量链接的个股比链接数量少的个股与常见经济因素的相关性更高。这表明股票市场中常见的经济因素可以用确定性因素来理解。
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英文标题：
《Deterministic Factors of Stock Networks based on Cross-correlation in
  Financial Market》
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作者：
Cheoljun Eom, Gabjin Oh, Seunghwan Kim
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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：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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英文摘要：
  The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in the market in the formation of stock networks, using the arbitrage pricing model reflecting essential properties of common economic factors. We find that the degree of consistency between real and model stock networks increases as additional common economic factors are incorporated into our model. Furthermore, we find that individual stocks with a large number of links to other stocks in a network are more highly correlated with common economic factors than those with a small number of links. This suggests that common economic factors in the stock market can be understood in terms of deterministic factors.
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PDF链接：
https://arxiv.org/pdf/0705.0076

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关键词：金融市场 因素分析 股票网络 互相关 确定性 定价 股票 网络 links economic