| Scale-Free Behavior in Weighted Stock Network |
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| 作者姓名： | 万阳松 陈忠 陈晓荣 |
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| 作者单位： | Antai College of Economics ＆ Management, Shanghai Jiaotong University, Shanghai 200052, China |
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| 基金项目： | Foundation item The National Natural Science Foundation of China （No. 70671070 ＆ No. 70401019 ） |
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| 摘 要： | A weighted stock network model of stock market is presented based on the complex network theory. The model is a weighted random network, in which each vertex denotes a stock, and the weight assigned to each edge is the cross-correlation coefficient of returns. Analysis of A shares listed at Shanghai Stock Exchange finds that the influence-strength (IS) follows a power-law distribution with the exponent of 2.58. The empirical analysis results show that there are a few stocks whose price fluctuations can powerfully influence the price dynamics of other stocks in the same market. Further econometric analysis reveals that there are significant differences between the positive IS and the negative IS.
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| 关 键 词： | 股票市场 网络理论 功率定律 随机网络 |
| 文章编号： | 1005-2429（2007）03-0242-05 |
| 修稿时间： | 2006-05-15 |
Scale-Free Behavior in Weighted Stock Network |
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| WAN Yang-song,CHEN Zhong,CHEN Xiao-rong.Scale-Free Behavior in Weighted Stock Network[J].Journal of Southwest Jiaotong University,2007,15(3):242-246. |
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| Authors: | WAN Yang-song CHEN Zhong CHEN Xiao-rong |
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| Abstract: | A weighted stock network model of stock market is presented based on the complex network theory. The model is a weighted random network, in which each vertex denotes a stock, and the weight assigned to each edge is the cross-correlation coefficient of returns. Analysis of A shares listed at Shanghai Stock Exchange finds that the influence-strength (IS) follows a power-law distribution with the exponent of 2.58. The empirical analysis results show that there are a few stocks whose price fluctuations can powerfully influence the price dynamics of other stocks in the same market. Further econometric analysis reveals that there are significant differences between the positive IS and the negative IS. |
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| Keywords: | Stock market Network theory Power-law Influence-strength |
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