Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 430, Issue -, Pages 39-45Publisher
ELSEVIER
DOI: 10.1016/j.physa.2015.02.081
Keywords
Econophysics; Complex networks
Categories
Funding
- National Research Foundation of Korea (NRF) - Ministry of Science ICT and Future Planning [NRF-2013R1A1A2057791, NRF-2012R1A1A2007430]
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We study the topological properties of the information transfer networks (ITN) of the global financial market indices for six different periods. ITN is a directed weighted network, in which the direction and weight are determined by the transfer entropy between market indices. By applying the threshold method, it is found that ITN undergoes a crossover from the complete graph to a small-world (SW) network. SW regime of ITN for a global crisis is found to be much more enhanced than that for ordinary periods. Furthermore, when ITN is in SW regime, the average clustering coefficient is found to be synchronized with average volatility of markets. We also compare the results with the topological properties of correlation networks. (C) 2015 Elsevier B.V. All rights reserved.
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