沪深300样本股动态网络性质研究

The Study of the Dynamic Networks of the HuShen 300 Index Stocks

利用2009年1月5日到2010年12月10日所有交易日的沪深300指数样本股日数据,构建了一系列动态网络.研究发现,随网络总度数的增大,网络的幂律值按指数衰减.股指和网络总度数的波动几乎是一致的.另外,当股指出现剧烈波动时,网络平均聚集系数变大,‘特别是此时度的概率分布平均拟合误差变得非常大,进一步研究发现,它的变化和股指波动的变化是同步的,所以我们认为是市场的剧烈波动破坏了股票网络的无标度性.上述结论对收盘价网络更明显.

In this paper, with the closing price of the HuShen300 index stocks that were traded from January 1,2009 to December 10,2010, we construct a series of dynamic complex networks. As found, with the increase of the total network degree, the network power law decays by exponention. The fluctuation of the stock index and the total network degree is almost consistent. In addition, the average of network coefficient become lager when the market experiences fluctuation, especially for the average of fitting error of the degree probability distribution. Further more, the change of the average fitting error and the stock index is also consistent. So we believe that the scalefreeness of the degree distribution is disrupted when the market experiences fluctuation. These conclusions are better for the closing price networks.