基于复杂网络的三板市场结构及投资组合研究

Statistical Property and Investment Portfolio Analysis for China's Third Board Market Based on Complex Networks

以三板市场股票为研究对象,运用复杂网络理论对三板市场进行分析,并与主板市场进行对比。研究发现三板市场股票价格相关性网络具有较小的聚集系数以及较短的特征路径长度,结构偏向于随机网络,复杂性特征不如沪深股市网络明显。利用GN算法对三板市场股票价格相关性网络进行社团划分,并基于此构建股票投资组合,此结果对投资者进行三板市场分散投资具有较好的指导意义。

We utilize threshold value method to build the third board market network with the stock of the third board market as the research object,and we use complex network theory to analyze the network. To compare the result with the main board market,we find that Chinese third board market network has a small clustering coefficient and short path length which is more like a random network but its complexity character is less obvious than the main board market. Then we use GN algorithm to divide the third market network to several communities and accordingly build stock portfolio to provide guidance of diversity investment for the investors in the third board market.