摘要翻译:
我们研究了基于关联的网络的性质,这些网络源于复杂的经济系统,例如在纽约证券交易所交易的股票网络。系统的弱链路(低相关性)对网络整体连通性的贡献显着大于强链路(高相关性)。我们发现通过强链接连接的节点形成定义良好的社区。与广泛使用的按经济活动分类相比,这些社区以更复杂的方式聚集在一起。我们发现一些公司,如通用电气公司、可口可乐公司和其他公司,可以参与不同的社区。随着时间的推移,这些社区被发现相当稳定。通过对雅典证券交易所(ASE)等规模和性质完全不同的市场进行调查,也得到了类似的结果。本方法也可用于通过相关生成的其他网络。
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英文标题:
《The structural role of weak and strong links in a financial market
network》
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作者:
Antonios Garas, Panos Argyrakis, and Shlomo Havlin
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最新提交年份:
2008
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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 investigate the properties of correlation based networks originating from economic complex systems, such as the network of stocks traded at the New York Stock Exchange (NYSE). The weaker links (low correlation) of the system are found to contribute to the overall connectivity of the network significantly more than the strong links (high correlation). We find that nodes connected through strong links form well defined communities. These communities are clustered together in more complex ways compared to the widely used classification according to the economic activity. We find that some companies, such as General Electric (GE), Coca Cola (KO), and others, can be involved in different communities. The communities are found to be quite stable over time. Similar results were obtained by investigating markets completely different in size and properties, such as the Athens Stock Exchange (ASE). The present method may be also useful for other networks generated through correlations.
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PDF链接:
https://arxiv.org/pdf/0805.2477


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