Correlation Between Network Topological Index and Volatility of Shanghai Stock Market

doi:10.12068/j.issn.1005-3026.2015.03.033

Abstract

Abstract: Taking stocks and the correlation between stocks as network nodes and edge respectively， the network of Shanghai stock market was constructed by minimum spanning tree (MST). The basic topological index of network was calculated.And then the correlation between these indexes and stock market volatility was analyzed. The results show that there is a negative correlation between average path length of network and market volatility when market volatility is higher， distances between nodes are shorter， network contraction is closer; and there is a negative correlation between mean occupation layer and market volatility when the market volatility increases， nodes in the network close to the center node; and there is a positive correlation between the maximum number of links and market volatility when market volatility is higher， connection between the network nodes is strengthener，the co-movement tendency is reinforced. The volatility changing in the stock market is forecasted by analyzing the changing law of topological index of stock network.

Key words: complex network, stock market, market volatility, topological index, minimum spanning tree

CLC Number:

F 830.91

ZHUANG Xiao-wei， JIN Xiu. Correlation Between Network Topological Index and Volatility of Shanghai Stock Market[J]. Journal of Northeastern University Natural Science, 2015, 36(3): 453-456.

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