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基于时变状态网络的银行风险传导研究 被引量:2
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作者 邱路 黄国妍 《物理学报》 SCIE EI CAS CSCD 北大核心 2020年第13期310-321,共12页
银行风险传导研究是系统性金融风险测度与防范的重点.文献中主要研究静态银行网络拓扑结构和银行系统性风险量化,较少考虑银行网络之间的状态转变.针对上述问题,提出时变状态网络模型.根据模型,首先用kmeans方法对各个时间段的银行网络... 银行风险传导研究是系统性金融风险测度与防范的重点.文献中主要研究静态银行网络拓扑结构和银行系统性风险量化,较少考虑银行网络之间的状态转变.针对上述问题,提出时变状态网络模型.根据模型,首先用kmeans方法对各个时间段的银行网络分类,然后通过有向最小生成树(DMST,directed minimum spanning tree)分析每一类银行网络的拓扑结构,最后联合利用平面最大过滤图(PMFG,planar maximally filtered graph)方法构建时变银行状态网络,该网络可用作银行风险源头的寻找和传导时变性分析.利用时变状态网络模型研究我国15家上市商业银行2007年第四季度到2019第一季度同业拆借数据.结果表明,银行状态网络之间的短期连续跳跃性可有效描述金融危机的发生,比如2008年全球金融危机发生前后出现了两个状态间的短期跳跃,从2013年“钱荒”到2015年的股灾阶段,先后出现了四个状态间的短期跳跃.同时,各个有向银行状态网络的出度和传染效应成正比,入度和银行面临风险的稳健程度成反比.时序的银行状态网络具有记忆性特征,这可以为央行防范系统性风险提供决策依据. 展开更多
关键词 银行网络 有向最小生成树 风险传染强度 平面最大过滤图
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TWO IMPROVED GRAPH-THEORETICAL CLUSTERING ALGORITHMS 被引量:2
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作者 王波 丁军娣 陈松灿 《Transactions of Nanjing University of Aeronautics and Astronautics》 EI 2012年第3期263-272,共10页
Graph-theoretical approaches have been widely used for data clustering and image segmentation recently. The goal of data clustering is to discover the underlying distribution and structural information of the given da... Graph-theoretical approaches have been widely used for data clustering and image segmentation recently. The goal of data clustering is to discover the underlying distribution and structural information of the given data, while image segmentation is to partition an image into several non-overlapping regions. Therefore, two popular graph-theoretical clustering methods are analyzed, including the directed tree based data clustering and the minimum spanning tree based image segmentation. There are two contributions: (1) To improve the directed tree based data clustering for image segmentation, (2) To improve the minimum spanning tree based image segmentation for data clustering. The extensive experiments using artificial and real-world data indicate that the improved directed tree based image segmentation can partition images well by preserving enough details, and the improved minimum spanning tree based data clustering can well cluster data in manifold structure. 展开更多
关键词 image segmentation data clustering graph-theoretical approach directed tree method minimum spanning tree method
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TABLE BASED METHOD FOR COMPETENCE SET EXPANSION 被引量:1
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作者 冯俊文 《Transactions of Tianjin University》 EI CAS 2001年第2期101-108,共8页
Each directed graph with the asymmetric costs defined over its arcs,can be represented by a table,which we call an expansion table.The basic properties of cycles and spanning tables of the expansion table correspondin... Each directed graph with the asymmetric costs defined over its arcs,can be represented by a table,which we call an expansion table.The basic properties of cycles and spanning tables of the expansion table corresponding to the cycles and spanning trees of the directed graph is first explored.An algorithm is then derived to find a minimum spanning table corresponding to a minimum spanning tree in the directed graph.Finally,how to use the algorithm to find the optimal expansion of competence set and related problems are discussed. 展开更多
关键词 competence set expansion habitual domains spanning tables minimum spanning tree directed graph
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