加权股票网络中的无标度行为研究.pdfVIP

1 Scale-Free Behavior in a Novel Weighted Stock Network WAN Yangsong, CHEN Zhong Antai School of Management, Shanghai Jiao Tong University, Shanghai, 200052, P.R .China Email: wsunpine@163.com Abstract A novel weighted stock network (WSN) model of stock market is presented based on the complex network theory. In this model, each vertex of the network denotes a stock, and the weight assigned to each edge is the cross-correlation coefficients of returns. We define the positive (or negative) influence-strength of a stock as its capability to cause other stocks’ price to rise (or fall) when its price rises. Then we find that the influence-strength distribution follows a power-law with exponent r =1.77. The result shows that there must be a few stocks whose price fluctuations can powerfully influence the price dynamics of other stocks in the same market . Further econometric analysis reveals there are significant differences between the positive and the negative influence-strengths in most of years. Key words Stock network, Power-law, Jarque-Bera test, Kruskal-Wallis test 1 Introduction Generally, social and economic systems always consist of many constituents such as individuals, companies and countries, etc., exhibiting cooperative and adaptive phenomena through various interactions between them. It is exactly these interactive and adaptive behaviors that makes the complex social and economic systems present a series of macroscopic behaviors and patterns, such as commodity prices, stoc