伊斯坦布尔交易所的网络几何:通过福曼-里奇曲线分析部门动态
Ömer Akgüller1, Mehmet Ali Balcı1, Larissa Margareta Batrancea2
1Deparment of Mathematics, Faculty of Science, Muğla Sıtkı Koçman University, 48000 Muğla, Turkey.
Entropy (Basel, Switzerland)
|March 28, 2025
概括
这项研究揭示了伊斯坦布尔证券交易所 (Borsa Istanbul) 的运作方式.
科学领域:
- 金融市场分析 金融市场分析
- 网络科学 网络科学
- 计量经济学 计量经济学
背景情况:
- 了解跨部门动态对于金融市场稳定至关重要.
- 传统的方法可能无法完全捕捉复杂的,不断发展的关系.
- 伊斯坦布尔证券交易所的部门业绩受宏观经济因素的影响.
研究的目的:
- 调查伊斯坦布尔证券交易所关键行业之间的动态相互依存关系.
- 应用一种使用曲率和的新型网络几何框架.
- 分析部门对宏观经济冲击的反应.
主要方法:
- 每日股票价格的滑动窗口分析 (2022-2024).
- 相互信息,三角最大过图 (TMFG) 和福曼-里奇曲率.
- 度和交叉相关性,格兰杰因果关系和转移.
主要成果:
- 服务业是银行,工业和技术部门之间的关键冲击传递器.
- 电力部门表现出稳定和强大的互连.
- 曲率指标揭示了传统分析遗漏的网络特征.
结论:
- 网络几何方法可以更深入地了解金融市场结构.
- 部门的相互依赖是复杂的,受宏观经济事件的影响.
- 这些发现强调了服务业在冲击传递方面的重要性.
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