期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 430, 期 -, 页码 39-45出版社
ELSEVIER
DOI: 10.1016/j.physa.2015.02.081
关键词
Econophysics; Complex networks
资金
- National Research Foundation of Korea (NRF) - Ministry of Science ICT and Future Planning [NRF-2013R1A1A2057791, NRF-2012R1A1A2007430]
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据