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Stock market as temporal network

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成果类型:
期刊论文
作者:
Zhao, Longfeng*;Wang, Gang-Jin;Wang, Mingang;Bao, Weiqi;Li, Wei*;...
通讯作者:
Zhao, Longfeng;Li, Wei
作者机构:
[Zhao, Longfeng; Li, W; Li, Wei] Cent China Normal Univ, MOE, Key Lab Quark & Lepton Phys, Wuhan 430079, Hubei, Peoples R China.
[Zhao, Longfeng; Li, W; Li, Wei] Cent China Normal Univ, Inst Particle Phys, Wuhan 430079, Hubei, Peoples R China.
[Zhao, Longfeng; Stanley, H. Eugene] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA.
[Zhao, Longfeng; Stanley, H. Eugene] Boston Univ, Dept Phys, Boston, MA 02215 USA.
[Wang, Gang-Jin] Hunan Univ, Business Sch, Changsha 410082, Hunan, Peoples R China.
通讯机构:
[Zhao, LF; Li, W] C
Cent China Normal Univ, MOE, Key Lab Quark & Lepton Phys, Wuhan 430079, Hubei, Peoples R China.
Cent China Normal Univ, Inst Particle Phys, Wuhan 430079, Hubei, Peoples R China.
语种:
英文
关键词:
Stock market;Correlation-based network;Temporal network;Portfolio optimization
期刊:
Physica A: Statistical Mechanics and its Applications
ISSN:
0378-4371
年:
2018
卷:
506
页码:
1104-1112
基金类别:
Programme of Introducing Talents of Discipline to Universities, ChinaMinistry of Education, China - 111 Project [B08033]; NSFC, ChinaNational Natural Science Foundation of China (NSFC) [71501066]; Hunan Provincial Natural Science Foundation of ChinaNatural Science Foundation of Hunan Province [2017JJ3024]; program of China Scholarship Council, China [201606770023]; NSF, United StatesNational Science Foundation (NSF) [PHY-1505000, CMMI-1125290, CHE-1213217]; DTRA, United States [HDTRA1-14-1-0017]; DOE, United StatesUnited States Department of Energy (DOE) [DE-AC07-05Id14517]
机构署名:
本校为第一且通讯机构
院系归属:
物理科学与技术学院
摘要:
Financial networks have become extremely useful in characterizing the structures of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network framework to characterize the time-evolving correlation-based networks of stock markets. The market instability can be detected by the evolution of the topology structure of the financial networks. We then employ the temporal centrality as a portfolio selection tool. Those portfolios, which are composed of peripheral stocks with low temporal centrality sco...

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