Community Structure Detection of Shanghai Stock Market Based on Complex Networks

Sen Wu (), Mengjiao Tuo () and Deying Xiong ()
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Sen Wu: University of Science and Technology Beijing
Mengjiao Tuo: University of Science and Technology Beijing
Deying Xiong: University of Science and Technology Beijing

A chapter in LISS 2014, 2015, pp 1661-1666 from Springer

Abstract: Abstract To investigate community structure of the component stocks of SSE 180-index, a stock correlation network is built taking the stocks as vertices and the correlation coefficient of logarithm returns of stock price as edges. It is built as undirected weighted at first. GN algorithm is chosen to detect community structure after transferring it into un-weighted based on different thresholds. The result shows that the stock market researched in this paper has obvious industrial characteristics.

Keywords: Complex network; Stock market; Community structure; The GN Algorithm (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-662-43871-8_239

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DOI: 10.1007/978-3-662-43871-8_239

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