Directed Network Research in Chinese Stock Market
Complex networks can be used to describe so many complex systems. As the importance of correlation between companies in investment theory and risk management, more and more researchers are becoming interested in the stock market networks. In this paper, we study the time-dependent cross-correlation between different stock returns in Chinese stock market. By computing the correlation coefficients for each pair of stocks and analyzing the coefficient values, we find that the directed influence networks exist in Chinese stock market, and the maximum correlation coefficient appears at 1 minute shift. The market is still efficient because of the small correlation coefficient values and the time shift within a few minutes. Moreover, an example of a directed network in Chinese stock market is presented.
stock market complex network time-dependent cross-correlation directed network
Hua Chen Qi-ming Sun
School of Economics and Management, Beijing University of Posts and Telecommunication Beijing, China
国际会议
北京
英文
883-886
2011-08-08（万方平台首次上网日期，不代表论文的发表时间）