世界股票市场网络的出现

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英文标题：
《Emergence of world-stock-market network》
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作者：
M. Saeedian, T. Jamali, M. Z. Kamali, H. Bayani, T. Yasseri and G.R.
  Jafari
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最新提交年份：
2017
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英文摘要：
  In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the collective behavior of a set of forty influential markets in the world economy with the aim of exploring a global financial structure that could be called world-stock-market network. Towards this end, we analyze the cross-correlation matrix of the indices of these forty markets using Random Matrix Theory (RMT). We find the degree of collective behavior among the markets and the share of each market in their structural formation. This finding together with the results obtained from the same calculation on four stock markets reinforce the idea of a world financial market. Finally, we draw the dendrogram of the cross-correlation matrix to make communities in this abstract global market visible. The dendrogram, drawn by at least thirty percent of correlation, shows that the world financial market comprises three communities each of which includes stock markets with geographical proximity.
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中文摘要：
在全球化时代，每个国家的股票市场都不是独立于其他市场的，这是很自然的。在这种情况下，集体行为可能会从他们的依赖关系中产生。本文研究了世界经济中40个有影响力的市场的集体行为，旨在探索一个可以称为世界股票市场网络的全球金融结构。为此，我们使用随机矩阵理论（RMT）分析了这40个市场指数的互相关矩阵。我们发现了市场之间的集体行为程度以及每个市场在其结构形成中的份额。这一发现加上对四个股票市场的同一计算结果，强化了世界金融市场的概念。最后，我们绘制了互相关矩阵的树状图，以使这个抽象的全球市场中的社区可见。该树状图由至少30%的相关性绘制，表明世界金融市场由三个社区组成，每个社区都包括地理位置相近的股票市场。
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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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关键词：股票市场 股票市 Quantitative Geographical Econophysics