摘要
以Kendall's秩相关系数作为网络边权值,构建复杂网络,测度国际证券市场指数收益率序列的波动相关性,分析该复杂网络的拓扑结构,发现该网络具有显著小世界特性,无明显无标度特性,并存在三大社区。研究结果与市场现实之间存在较好的对应关系,证明方法的有效性。
The complex network is established to measure correlations in fluctuation among index return series of stock markets from various countries,with the Kendall＇sτrank correlation coefficient as the edge weight.The network topology characteristics are studied and analysis results show that the international stock market network is endowed with small-world effect,without scale-free nature and three communities are found.The results agree with reality,which has certain instructive effect on the setting of immunization strategies.
出处
《复杂系统与复杂性科学》
EI
CSCD
北大核心
2014年第3期50-57,78,共9页
Complex Systems and Complexity Science
关键词
复杂网络
Kendall’sτ秩相关系数
小世界
社团结构
结构洞
complex network
Kendall＇sτrank correlation coefficient
small-world effect
community structure
structure hole
