Are stock market networks non-fractal? Evidence from New York Stock Exchange

被引：17
|
作者：
Zeng, Zhi-Jian [1 ]
Xie, Chi [1 ,2 ]
Yan, Xin-Guo [1 ]
Hu, Jue [1 ]
Mao, Zhou [1 ]
机构：
[1] Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China
[2] Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2016年 / 17卷
基金：
中国国家自然科学基金;
关键词：
Econophysics; Stock market; (Non)-fractal; Minimum spanning tree; SELF-SIMILARITY; ORGANIZATION; INFORMATION;
D O I：
10.1016/j.frl.2016.02.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we investigate the fractal (non-fractal) property of stock market network by using the edge-covering with simulated annealing method. We choose the daily closing price of 2109 stocks traded on the NYSE during the period from 2011 to 2014 as dataset and construct the network by using minimal spanning tree (MST). The empirical results show that the degree of stocks obeys power-law distribution and the highly connected stocks connect with each other directly, i.e., the stock market network is non-fractal. Our work provides a new perspective on risk management, which can be used in other network-based financial systems. (C) 2016 Elsevier Inc. All rights reserved.
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页码：97 / 102
页数：6
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