Analysis of the gold fixing price fluctuation in different times based on the directed weighted networks

Guangyong Zhang, Le Jiang, Lixin Tian and Min Fu

The North American Journal of Economics and Finance, 2021, vol. 57, issue C

Abstract: According to the complex network theory, this paper constructs the gold fixing price fluctuation directed weighted network (GFPFDWN) at 10:30 a.m. (A.M.) and 15:00p.m. (P.M.) London Greenwich Mean Time, and studies the law of the gold fixing price fluctuation by analyzing the basic statistical data and characteristics of the GFPFDWN. The results show that the abnormal distribution of the gold fixing price (GFP) at A.M. and P.M. is confirmed by the statistics, the core fluctuation state of the GFPFDWN is reflected in the first 1.8% nodes, and most of the nodes have smaller strength, only a few nodes have larger strength, which has the characteristics of a typical scale-free network. Meanwhile, the nodes with a large strength are closely related among them, which must appear earlier, but the nodes appearing early are not necessarily the nodes with a large strength. The nodes of the GFPFDWN present a short-range correlation in different periods, and the cumulative time of the new nodes shows a high linear growth trend. In addition, the nodes of the GFPFDWN show the characteristics with a small betweenness, clustering coefficient and node strength in different periods, which are different from the characteristics of the random network and chaotic network. When these nodes with small strength appear, which means that this period is in a transitional period, then identifying and analyzing these nodes can effectively predict the fluctuation of the gold fixing price in the next period.

Keywords: Gold fixing price; Time series; Strength; Betweenness; Clustering coefficient (search for similar items in EconPapers)
JEL-codes: C02 C69 D80 E31 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000668

DOI: 10.1016/j.najef.2021.101437

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