Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userSpectrum, Intensity and Coherence in Weighted Networks of a Financial Market
51
0
0.0
(
0
)
Ask ChatGPT about the research
No Arabic abstract
We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the correlation between the nodes. The eigenvalue spectrum of the correlation matrix reflects the structure of the market, which also shows in the cluster structure of the emergent network. The stronger and more compact a cluster is, the earlier the eigenvalue representing the corresponding business sector occurs in the spectrum. On the other hand, if groups of stocks belonging to a given business sector are considered as a fully connected subgraph of the final network, their intensity and coherence can be monitored as a function of time. This approach indicates to what extent the business sector classifications are visible in market prices, which in turn enables us to gauge the extent of group-behaviour exhibited by stocks belonging to a given business sector.
rate research
Read More
Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The Shanghai city and the Guangdong province can be identified in the stock geographical sector. By investigating a geographical correlation on a geographical parameter, the stock location is found to have an impact on the financial dynamics, except for the financial crisis time of the Shenzhen market. Stock distance effect is further studied, with a crossover behavior observed for the stock distance distribution. The probability of the short distance is much greater than that of the long distance. The average stock correlation is found to weakly decay with the stock distance for the Shanghai stock market, but stays nearly stable for different stock distance for the Shenzhen stock market.
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value of the global financial market has vastly outgrown the value of the real economy, financial institutions on this planet have created a web of interactions whose size and topology calls for a quantitative analysis by means of Complex Networks. Financial Networks are not only a playground for the use of basic tools of statistical physics as ensemble representation and entropy maximization; rather, their particular dynamics and evolution triggered theoretical advancements as the definition of DebtRank to measure the impact and diffusion of shocks in the whole systems. In this review we present the state of the art in this field, starting from the different definitions of financial networks (based either on loans, on assets ownership, on contracts involving several parties -- such as credit default swaps, to multiplex representation when firms are introduced in the game and a link with real economy is drawn) and then discussing the various dynamics of financial contagion as well as applications in financial network inference and validation. We believe that this analysis is particularly timely since financial stability as well as recent innovations in climate finance, once properly analysed and understood in terms of complex network theory, can play a pivotal role in the transformation of our society towards a more sustainable world.
In real networks complex topological features are often associated with a diversity of interactions as measured by the weights of the links. Moreover, spatial constraints may as well play an important role, resulting in a complex interplay between topology, weight, and geography. In order to study the vulnerability of such networks to intentional attacks, these attributes must be therefore considered along with the topological quantities. In order to tackle this issue, we consider the case of the world-wide airport network, which is a weighted heterogeneous network whose evolution and structure are influenced by traffic and geographical constraints. We first characterize relevant topological and weighted centrality measures and then use these quantities as selection criteria for the removal of vertices. We consider different attack strategies and different measures of the damage achieved in the network. The analysis of weighted properties shows that centrality driven attacks are capable to shatter the networks communication or transport properties even at very low level of damage in the connectivity pattern. The inclusion of weight and traffic therefore provides evidence for the extreme vulnerability of complex networks to any targeted strategy and need to be considered as key features in the finding and development of defensive strategies.
Topology and weights are closely related in weighted complex networks and this is reflected in their modular structure. We present a simple network model where the weights are generated dynamically and they shape the developing topology. By tuning a model parameter governing the importance of weights, the resulting networks undergo a gradual structural transition from a module free topology to one with communities. The model also reproduces many features of large social networks, including the weak links property.
We propose a geometric growth model for weighted scale-free networks, which is controlled by two tunable parameters. We derive exactly the main characteristics of the networks, which are partially determined by the parameters. Analytical results indicate that the resulting networks have power-law distributions of degree, strength, weight and betweenness, a scale-free behavior for degree correlations, logarithmic small average path length and diameter with network size. The obtained properties are in agreement with empirical data observed in many real-life networks, which shows that the presented model may provide valuable insight into the real systems.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
