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Stock Market Temporal Complex Networks Construction, Robustness Analysis, and Systematic Risk Identification: A Case of CSI 300 Index
المؤلفون المشاركون
Wan, Xiaole
Zhang, Zhen
Zhang, Chi
Meng, Qingchun
المصدر
العدد
المجلد 2020، العدد 2020 (31 ديسمبر/كانون الأول 2020)، ص ص. 1-19، 19ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2020-07-15
دولة النشر
مصر
عدد الصفحات
19
التخصصات الرئيسية
الملخص EN
The Chinese stock 300 index (CSI 300) is widely accepted as an overall reflection of the general movements and trends of the Chinese A-share markets.
Among the methodologies used in stock market research, the complex network as the extension of graph theory presents an edged tool for analyzing internal structure and dynamic involutions.
So, the stock data of the CSI 300 were chosen and divided into two time series, prepared for analysis via network theory.
After stationary test and coefficients calculated for daily amplitudes of stock, two “year-round” complex networks were constructed, respectively.
Furthermore, the network indexes, including out degree centrality, in degree centrality, and betweenness centrality, were analyzed by taking negative correlations among stocks into account.
The first 20 stocks in the market networks, termed “major players,” “gatekeeper,” and “vulnerable players,” were explored.
On this basis, temporal networks were constructed and the algorithm to test robustness was designed.
In addition, quantitative indexes of robustness and evaluation standards of network robustness were introduced and the systematic risks of the stock market were analyzed.
This paper enriches the theory on temporal network robustness and provides an effective tool to prevent systematic stock market risks.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Wan, Xiaole& Zhang, Zhen& Zhang, Chi& Meng, Qingchun. 2020. Stock Market Temporal Complex Networks Construction, Robustness Analysis, and Systematic Risk Identification: A Case of CSI 300 Index. Complexity،Vol. 2020, no. 2020, pp.1-19.
https://search.emarefa.net/detail/BIM-1143631
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Wan, Xiaole…[et al.]. Stock Market Temporal Complex Networks Construction, Robustness Analysis, and Systematic Risk Identification: A Case of CSI 300 Index. Complexity No. 2020 (2020), pp.1-19.
https://search.emarefa.net/detail/BIM-1143631
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Wan, Xiaole& Zhang, Zhen& Zhang, Chi& Meng, Qingchun. Stock Market Temporal Complex Networks Construction, Robustness Analysis, and Systematic Risk Identification: A Case of CSI 300 Index. Complexity. 2020. Vol. 2020, no. 2020, pp.1-19.
https://search.emarefa.net/detail/BIM-1143631
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1143631
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
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