Knowledge-based multiplex network reconstruction and influential substructure identification of stock time series: An application to the Chinese A-share market

Xiaoqi Zhang, Peilin Du, Yanqiao Zheng, Zexuan Zhang and Jiayi Yao

Finance Research Letters, 2025, vol. 75, issue C

Abstract: We propose a novel and easy-to-implement algorithm to reconstruct the hidden network from stock time series with the assist of prior knowledge in finance. Compared with the data-oriented approaches, our knowledge-based approach gives the first attempt to utilize the pricing knowledge in factor model, which results naturally in a multiplex structure of stock network. Each of the multi-layers in the network encodes the structural feature of the corresponding pricing factor into a core–periphery subnetwork, suggesting the influential channels for certain types of risk propagation. We apply the algorithm to Chinese A-share market and reveal the advantage of the knowledge add-in.

Keywords: Factor model; Multiplex network; A-share market; Core–periphery structure; Influential sub-network (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325000868

DOI: 10.1016/j.frl.2025.106821

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