基于网络结构的股票相关性研究

Research on correlation between stocks based on network structure

针对股票间相关性,选取了中国股票市场的沪深主板、创业板、中小板中共100只股票在2013年1月1日至2013年8月31日的周收盘价进行数据分析。首先计算各股票的对数收益率,建立样本股票之间的网络结构,分析股票网络结构的统计特性;然后重新对样本股票进行板块划分,并与同一股票市场的网络结构研究结果进行对比分析。

According to the correlation between stocks,we select 100 kinds of stocks from Shanghai A and B shares,Shenzhen A and B shares,GEM,small and medium-sized plate stock in China stock market.We analyze their week closing price during January 1,2013 to August31,2013.Firstly,we calculate the logarithmic rate of return of stock shares,then set up network structure and analyze the statistical characteristics of stock network structure.We not only divide the sample stock plate,but also explain the difference between our result and the actual.Finally,we analyze the research on the network structure of the same stock market comparatively.