股票市场的功能超图
Jerry Jones David1, Narayan G Sabhahit2, Sebastiano Stramaglia3
1Complex Systems Lab, Department of Physics, Indian Institute of Technology Indore, Khandwa Road, Indore 453552, India.
Entropy (Basel, Switzerland)
|October 25, 2024
概括
本研究引入了功能超图来建模复杂的股票市场相互作用,超出对对相关性. 这种更高阶的方法揭示了股票市场崩盘期间的市场动态和稳定性.
科学领域:
- 量化金融 量化金融
- 网络科学 网络科学
- 信息理论 信息理论
背景情况:
- 股票市场价格表现出复杂的,非线性相互依赖.
- 网络分析一直被用来研究股票市场的行为,但通常假设对对相关性.
- 现实世界的市场互动可以是更高层次的,同时涉及两个以上的实体.
研究的目的:
- 开发一种新的方法来代表股票市场数据中的更高阶相互作用.
- 引入功能超图作为分析这些复杂关系的框架.
- 为了比较超图的分析能力与传统网络在理解市场动态.
主要方法:
- 利用信息理论工具,从股票市场数据中构建功能超图.
- 应用高级网络分析技术.
- 计算和比较功能超图量 (福曼-里奇曲率,·诺伊曼,自向量中心性) 与传统的网络指标.
- 分析了网络和超图结构随着时间的推移而发生的演变,特别是围绕市场事件.
主要成果:
- 与对联网络相比,功能超图提供了更丰富的股票市场相互依赖的表现.
- 对超图数量的分析揭示了与市场事件相关的独特模式和信号.
- 超图框架在分析市场行为方面表现出强大的稳定性,即使是在股票市场崩盘期间.
结论:
- 高级表示,如功能超图,对于全面了解股票市场动态至关重要.
- 这种方法为市场行为和性提供了新的见解.
- 该方法提供了一个强大的工具,用于分析金融市场以外的复杂系统.
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