市场因素对股票信息流通的影响 最小生成树

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摘要翻译：
实证研究了市场因素对股票之间N(N-1)/2联动关系所产生的信息流的影响。我们还研究了使用最小生成树(MST)方法的可能性，该方法能够将链接数量减少到n-1。我们确定市场因素对于股票之间的信息流动具有重要的信息价值。而且，随着市场状况的变化，股票之间的信息流动呈现出时变特性。我们特别注意到，在市场危机期间，信息流急剧增加。最后，我们通过MST方法证实，从整体市场的角度出发，通过减少股票之间各环节之间的联系关系，可以有效地评估股票之间的信息流。
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英文标题：
《The effect of a market factor on information flow between stocks using
  minimal spanning tree》
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作者：
Cheoljun Eom, Okyu Kwon, Woo-Sung Jung, Seunghwan Kim
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最新提交年份：
2009
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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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英文摘要：
  We empirically investigated the effects of market factors on the information flow created from N(N-1)/2 linkage relationships among stocks. We also examined the possibility of employing the minimal spanning tree (MST) method, which is capable of reducing the number of links to N-1. We determined that market factors carry important information value regarding information flow among stocks. Moreover, the information flow among stocks evidenced time-varying properties according to the changes in market status. In particular, we noted that the information flow increased dramatically during periods of market crises. Finally, we confirmed, via the MST method, that the information flow among stocks could be assessed effectively with the reduced linkage relationships among all links between stocks from the perspective of the overall market.
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PDF链接：
https://arxiv.org/pdf/0905.2043

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关键词：最小生成树 股票信息 信息流 relationship Quantitative 出发 方法 links minimal 股票