Research of Chinese Stock Market' Complex Network Structure

He Nie, Yuan-Biao Zhang, Jun-Ru Chen, Xin-Guang Lv
2015 International Journal of Economics and Finance  
This paper presents and analyzes an analytical model of the stock market's complex network structure, based on the Chinese stock market of the financial industry. Firstly, according to the correlation coefficient formula, we will calculate the correlation coefficient between the stocks by using the stocks data obtained, and we do a quantitative analysis to select the appropriate threshold to filter out low directed correlation numerical value, on this account we establish a stock market's
more » ... x network; then using the centrality analysis methods to analyze the stock market's complex network structure, from degree centrality, betweenness centrality, closeness centrality of three aspects to make an analysis, in order to study promoting effects of the leading stocks in the financial industry; and finally we analyze the small-world network characteristics of the stock network established, drawing the conclusion that the small-world network characteristics of the stock network is obvious. There is a large number of complex systems can be used to abstract and describe the network (Albert et al., 2002) . Complex network theory is the main theory that abstract and describe the complex systems, Zhou et al. (2005) studied the complex network and overview it. Today, this theory was applied more widely in the actual network, covering many areas: Huang et al. (2011) used the complex network method to study the structure of relation between industrial clusters. Through the study of complex networks, scientists have introduced a number of theories, including centrality analysis and the small-world analysis. Ping et al. (2010) used the centrality analysis methods to analyze the micro-blog information dissemination research. Li et al. (2008) studied an empirical study of coauthorship analysis by using social network analysis. Siganos et al. (2003) found that there is a small-world network characteristics in the internet network. In recent years, it is widely concerned that various phenomena occurring in the stock market has been understood and explained with the concept of the complex networks. Liu et al. (2012) made use of complex network theory to study the stock undirected network topological properties; Ma et al. (2013) studied the complex network relationship between the stock price in order to concluded that there was the correlation between the stock price; Zou (2013) established the undirected network and make use of social network analysis method to study the stock price correlation; Chen (2012) established a composite complex network to study the Chinese stock market network model with dynamics research; Chen (2012) established the stock directed complex network and replied the complex network theory to study the correlation between stocks; Sun (2013) studied stock's price gain and price volatility time series of complex network. Based on the previous studies, form the point of data mining, quantity statistics, empirical analysis, this paper focuses on establishing the complex network of stock market to study the directed correlation between stocks in the financial industry. In addition, this paper study the structural characteristics of the network by centrality analysis to prove the promoting effect of the leading shares in the financial industry and do an empirical research to prove that the stock network is of small-world network characteristics. www.ccsenet.org/ijef
doi:10.5539/ijef.v7n5p116 fatcat:or3vji57ubbadauyuxyqocpaa4