摘要
以2017年沪深300指数成分股的收盘价为数据来源,使用重标极差法(R/S)对其收益率序列进行处理,删除短期记忆性数据。通过阈值法来构建股票市场复杂网络模型,并验证该网络具有小世界性和无标度性,通过子图中心性及最大连通子图节点个数的变化情况分析不同攻击方式下股票市场网络的稳定性。研究结果表明,相对于随机攻击,蓄意攻击下的网络更加"脆弱"。
Taking the closing prices of the CSI 300 Index constituent stocks in 2017 as the data source,the return series is processed using the rescaled range method and the short-term memory data is deleted.The threshold method is used to construct the complex network model of the stock market,and verify that the network is small-world and scale-free.The stability of the stock market network under different attack modes is analyzed by the variation of the subgraph centrality and the number of nodes of the maximal connected subgraph.The results show that the networks under deliberate attacks are more "fragile" than random attacks.
作者
洪振木
李燕
HONG Zhen-mu;LI Yan(School of Finance,Anhui University of Finance and Economics,Bengbu 233030,Anhui,China)
出处
《合肥学院学报（综合版）》
2019年第2期9-15,共7页
Journal of Hefei University：Comprehensive ED
基金
国家自然科学基金项目(11601002)
安徽财经大学研究生科研创新基金项目(ACYC2017112)
安徽省高校自然科学研究重点项目(KJ2016A003)资助
关键词
复杂网络
小世界性
无标度性
稳定性
最大连通子图
子图中心性
complex networks
small-world property
scale-free property
stability
maximal connected subgraph
subgraph centrality
