发帖
雷达卡
英文标题：
《Network Topologies of Financial Market During the Global Financial
Crisis》
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作者：
Ashadun Nobi, Seong Eun Maeng, Gyeong Gyun Ha, Jae Woo Lee
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最新提交年份：
2013
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英文摘要：
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks generate from the fully connected correlation network by using the cross-correlation coefficients among the stock price time series of the companies. We generate the threshold networks (TN), the minimal spanning tees (MST), and the hierarchical network (HN) from the fully connected cross-correlation networks. By assigning a threshold value of the cross-correlation coefficient, we obtain the threshold networks. We observe the power law of the degree distribution in the limited range of the threshold. The degree distribution of the largest cluster in the threshold networks during the crisis is fatter than other periods. The clustering coefficient of the threshold networks follows the power law in the scaling range. We also generate the minimal spanning trees from the fully connected correlation networks. The MST during the crisis period shrinks in comparison to the periods before and after the crisis. The cophenetic correlation coefficient increases during the crisis, indicating that the hierarchical structure increases during this period. When the crisis hit the market, the companies behave synchronously and their correlations become stronger than the normal period.
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中文摘要：
我们通过2008年危机前后的韩国本地金融市场来考虑全球金融危机的影响。我们分析了韩国综合股价指数（KOSPI，Korea Composite stock Price Index）的185只股票的价格，将其分为三个时间段：危机前、危机中和危机后。利用公司股价时间序列之间的互相关系数，由完全连通的相关网络生成复杂网络。我们从完全连接的互相关网络中生成阈值网络（TN）、最小跨越T（MST）和层次网络（HN）。通过分配互相关系数的阈值，我们得到了阈值网络。在阈值的有限范围内，我们观察到了度分布的幂律。危机期间阈值网络中最大集群的度分布比其他时期更胖。阈值网络的聚类系数在标度范围内遵循幂律。我们还从完全连通的相关网络生成最小生成树。与危机前后相比，危机期间的MST有所收缩。危机期间，共生相关系数增加，表明这一时期的等级结构增加。当危机冲击市场时，这些公司的行为是同步的，它们之间的相关性比正常时期更强。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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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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