Analysis of stock market based on visibility graph and structure entropy

Jia Zhu and Daijun Wei

Physica A: Statistical Mechanics and its Applications, 2021, vol. 576, issue C

Abstract: Complex network has been widely used to reveal the rule of complex system. Recently, visibility graph method is useful tool to convert time series into complex network. And that, structure entropy of network well describe property of complex network. In this paper, a new method, based on visibility graph and entropy methods, is proposed for studying stock market. The daily closing price of stock is regarded as time series. And then, stock network are established from the time series by the visibility graph method. Finally, some properties of stock market are described by measuring the change of structure entropy of the stock networks. The proposed method is applied to assess performance of six market indices of six countries (China, America, Germany, France, Japan, Britain) for 28 years. Meanwhile, some virtual stock markets are discussed. The results show that the economic activity such as financial crisis, that affects the change of network structure and the proposed method can effectively describe some properties of stock market.

Keywords: Complex network; Visibility graph; Structure entropy; Stock network (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437121003083
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:576:y:2021:i:c:s0378437121003083

DOI: 10.1016/j.physa.2021.126036

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().