运筹与管理2018，Vol.27Issue(1)：144-152,9.DOI:10.12005/orms.2018.0022
基于随机矩阵理论的股市网络拓扑性质研究
Study on Topological Property of Stock Market's Network Based on Random Matric Method
摘要
Abstract
In this paper,we apply the random matric theory(RMT)and dynamic model of correlation coefficient to establish a worldwide stock markets' correlation coefficient matric of twice of denoising.We use the threshold method to build the stock markets' network,and further analyze the topological properties of the network and ex-plain the risk contagion among stock markets in the network.The study indicates that, the network is a small-world network.Under the threshold θ=0.1, the worldwide stock markets network is a strongly robust.As for risk contagion, the stock markets of England and Nederland have a strong impact on the stock market network than others.Besides,the risk contagion among stock markets in the network shows an assortativety.关键词
股市网络/拓扑结构/风险传染/随机矩阵理论Key words
stock markets network/topological structure/risk contagion/random matric theory分类
管理科学引用本文复制引用
谢赤,胡珏,王钢金..基于随机矩阵理论的股市网络拓扑性质研究[J].运筹与管理,2018,27(1):144-152,9.基金项目
国家自然科学基金项目(71373072) （71373072）
国家自然科学基金项目(71340014) （71340014）
高等学校博士点专项科研基金项目(20130161110031) （20130161110031）
