东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2011, Vol. 32 ›› Issue (3): 447-451.DOI: -

• 论著 • 上一篇    下一篇

基于复杂网络的上海证券交易所富人俱乐部特性研究

马源源;庄新田;李凌轩;   

  1. 东北大学工商管理学院;东北大学机械工程与自动化学院;
  • 收稿日期:2013-06-19 修回日期:2013-06-19 发布日期:2013-04-04
  • 通讯作者: -
  • 作者简介:-
  • 基金资助:
    国家自然科学基金资助项目(70871022)

Complex networks based research on characteristics of the Shanghai stock exchange rich-club

Ma, Yuan-Yuan (1); Zhuang, Xin-Tian (1); Li, Ling-Xuan (2)   

  1. (1) School of Business Administration, Northeastern University, Shenyang 110819, China; (2) School of Mechanical Engineering and Automation, Northeastern University, Shenyang 110819, China
  • Received:2013-06-19 Revised:2013-06-19 Published:2013-04-04
  • Contact: Li, L.-X.
  • About author:-
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摘要： 利用2009年在上海证券交易所股票数据建立股票之间的关联网络,分析表明该网络属于典型的稀疏型无标度网络,网络中存在较多的连接甚为紧密的Hub节点,它们影响着网络的传播动力学行为.然后采用分段线性拟合的方式找到了上海证券交易所的富人俱乐部,分析了Hub点集以及富人俱乐部对整体股市的影响,并且发现采用网络的观点可以诊断出股市中的故障性现象.最后以5月12日为例,基于股市中的富人俱乐部特性对股市的异常性现象进行诊断,进一步实证了Hub点集以及超大型股票在股市中的风向标作用,其健康状况对股市的总体行为存在较大的影响.

关键词: 富人俱乐部, 复杂网络, 无标度, Hub节点, 上海证券交易所

Abstract: Stocks transaction data from the 2009 Shanghai stock exchange (SSE) were utilized to establish the relational network among these stocks. Analysis indicated that this network is a classic sparse scale-free network with a relatively high number of vertices forming a tightly Hub vertices that affects the dynamic broadcasting behavior of the network. Piecewise linear fit was then used to locate the rich-club in the SSE and to analyze the Hub vertices as well as the effect of the rich-club on the entire stock market. It was discovered that the network viewpoint could be used to diagnose malfunction vulnerability phenomenon in the stock market. In addition, using May 12 as an example, diagnosis was conducted on abnormal phenomena in the stock market based on rich-club characteristics, providing further evidence that the Hub along with super-large stocks have market trend prediction value and that their health has a large impact on the overall behavior of the stock market.

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