相关论文: Financial Networks in the Korean Stock Exchange Ma…

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…

We study the statistics of growing networks in which each link carries a weight (k_i k_j)^theta, where k_i and k_j are the node degrees at the endpoints of link ij. Network growth is governed by preferential attachment in which a…

Despite the efficient market hypothesis, many studies suggest the existence of inefficiencies in the stock market leading to the development of techniques to gain above-market returns. Systematic trading has undergone significant advances…

In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of…

In today's increasingly international economy, return and volatility spillover effects across international equity markets are major macroeconomic drivers of stock dynamics. Thus, information regarding foreign markets is one of the most…

We study the rank distribution, the cumulative probability, and the probability density of returns of stock prices of listed firms traded in four stock markets. We find that the rank distribution and the cumulative probability of stock…

The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…

--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…

We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend…

Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…

We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…

The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…

The connectivity of stock markets reflects the information efficiency of capital markets and contributes to interior risk contagion and spillover effects. We compare Shanghai Stock Exchange A-shares (SSE A-shares) during tranquil periods,…

We extend the previously observed scaling equation connecting the internode distances and nodes' degrees onto the case of weighted networks. We show that the scaling takes a similar form in the empirical data obtained from networks…

Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…

Power law distribution is common in real-world networks including online social networks. Many studies on complex networks focus on the characteristics of vertices, which are always proved to follow the power law. However, few researches…

We investigate the average frequency of positive slope $\nu_{\alpha}^{+}$, crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define…

Development of stock networks is an important approach to explore the relationship between different stocks in the era of big-data. Although a number of methods have been designed to construct the stock correlation networks, it is still a…

Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…

Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…