Research on energy stock market associated network structure based on financial indicators

Xian Xi and Haizhong An

Physica A: Statistical Mechanics and its Applications, 2018, vol. 490, issue C, 1309-1323

Abstract: A financial market is a complex system consisting of many interacting units. In general, due to the various types of information exchange within the industry, there is a relationship between the stocks that can reveal their clear structural characteristics. Complex network methods are powerful tools for studying the internal structure and function of the stock market, which allows us to better understand the stock market. Applying complex network methodology, a stock associated network model based on financial indicators is created. Accordingly, we set threshold value and use modularity to detect the community network, and we analyze the network structure and community cluster characteristics of different threshold situations. The study finds that the threshold value of 0.7 is the abrupt change point of the network. At the same time, as the threshold value increases, the independence of the community strengthens. This study provides a method of researching stock market based on the financial indicators, exploring the structural similarity of financial indicators of stocks. Also, it provides guidance for investment and corporate financial management.

Keywords: Complex networks; Stocks; Similarity; Financial indicators (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:490:y:2018:i:c:p:1309-1323

DOI: 10.1016/j.physa.2017.08.114

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