本文選題：金融網(wǎng)絡(luò) + 有效閾值　； 參考：《武漢理工大學(xué)》2013年碩士論文

【摘要】：金融市場是一個(gè)高度復(fù)雜的動(dòng)力學(xué)系統(tǒng),基于不同股票之間的相關(guān)性構(gòu)建的金融網(wǎng)絡(luò)有助于理解金融系統(tǒng)的內(nèi)在結(jié)構(gòu)和動(dòng)力學(xué)行為�；趶�(fù)雜網(wǎng)絡(luò)研究并分析金融市場的結(jié)構(gòu)及其性質(zhì)需要建立在構(gòu)建網(wǎng)絡(luò)的基礎(chǔ)上。構(gòu)建網(wǎng)絡(luò)的方法有多種,其中邊相關(guān)系數(shù)閾值法被廣泛應(yīng)用,但目前學(xué)者們在基于邊相關(guān)系數(shù)閾值法構(gòu)建網(wǎng)絡(luò)時(shí)大多是考慮采用傳統(tǒng)技術(shù)即選取固定的閾值的方法,然而研究發(fā)現(xiàn),選擇不同的閾值得到的網(wǎng)絡(luò)的拓?fù)浣Y(jié)構(gòu)有著明顯的差異。本文首先論證了最大連通子圖在金融網(wǎng)絡(luò)中的地位,然后提出了有效閾值區(qū)間的概念,最后給出了基于閾值構(gòu)建金融網(wǎng)絡(luò)新方法的具體步驟,并將該方法應(yīng)用到實(shí)際中去。 本文基于閾值研究金融網(wǎng)絡(luò)的構(gòu)建及其應(yīng)用研究,主要表現(xiàn)在以下幾個(gè)方面。 (1)通過分析不同閾值下最大連通子圖的節(jié)點(diǎn)個(gè)數(shù)的變化情況,發(fā)現(xiàn)最大連通子圖是金融網(wǎng)絡(luò)的共性,是金融網(wǎng)絡(luò)的內(nèi)在屬性。 (2)通過分析股票的皮爾遜相關(guān)系數(shù)分布情況,發(fā)現(xiàn)均呈現(xiàn)一定的正態(tài)性,由此確定金融網(wǎng)絡(luò)在構(gòu)建時(shí)的有效閾值區(qū)間,并根據(jù)最大連通子圖的節(jié)點(diǎn)個(gè)數(shù)的變化情況進(jìn)一步來確定構(gòu)建網(wǎng)絡(luò)的閾值。 (3)給出基于閾值構(gòu)建金融網(wǎng)絡(luò)的新方法。 最后,將該方法應(yīng)用到實(shí)際中去,分別構(gòu)建了滬市金融網(wǎng)絡(luò)和道瓊斯金融網(wǎng)絡(luò)。分析了滬市金融網(wǎng)絡(luò)的模體結(jié)構(gòu)和社團(tuán)結(jié)構(gòu),并基于模體分析了金融市場中投資者購買股票的可能性；然后,分析了不同閾值下道瓊斯金融網(wǎng)絡(luò)的穩(wěn)健性變化和投資風(fēng)險(xiǎn)變化情況,進(jìn)一步探討了閾值選取的問題。
[Abstract]:The financial market is a highly complex dynamic system. The financial network based on the correlation between different stocks is helpful to understand the internal structure and dynamic behavior of the financial system. To study and analyze the structure and nature of financial market based on complex network, we need to build a network. There are many methods to construct the network, among which the threshold method of edge correlation coefficient is widely used. But at present, most scholars consider the method of choosing fixed threshold when constructing the network based on the threshold method of edge correlation coefficient. However, it is found that there are significant differences in the topology of the network with different thresholds. In this paper, the position of maximum connected subgraph in financial network is first demonstrated, then the concept of effective threshold interval is proposed. Finally, the concrete steps of constructing a new method of financial network based on threshold are given, and the method is applied to practice. This paper studies the construction and application of financial network based on threshold, mainly in the following aspects. 1) by analyzing the change of the number of nodes in the maximum connected subgraph under different thresholds, it is found that the maximum connected subgraph is the common character of the financial network and the intrinsic attribute of the financial network. 2) by analyzing the Pearson correlation coefficient distribution of stocks, it is found that all of them are normal, and the effective threshold range of financial network is determined when the financial network is constructed. The threshold of constructing network is further determined according to the change of the number of nodes in the maximum connected subgraph. A new method of constructing financial network based on threshold is presented. Finally, the financial network of Shanghai Stock Exchange and the financial network of Dow Jones are constructed by applying this method to practice. This paper analyzes the motif structure and community structure of the financial network of Shanghai Stock Exchange, and analyzes the possibility of investors buying stocks in the financial market based on the motifs. This paper analyzes the changes of robustness and investment risk of Dow Jones financial network under different thresholds, and further discusses the problem of threshold selection.
【學(xué)位授予單位】：武漢理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.91;O157.5

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本文編號(hào)：1986383