Adaptive financial networks with static and dynamic thresholds

Tian Qiu, Bo Zheng and Guang Chen

Papers from arXiv.org

Abstract: Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large fluctuation induced by the cross-correlation of individual stock prices, and leads to a stable topological structure in the dynamic evolution. Long-range time-correlations are revealed for the average clustering coefficient, average degree and cross-correlation of degrees. The dynamic network shows a two-peak behavior in the degree distribution.

Date: 2010-02
References: View complete reference list from CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
http://arxiv.org/pdf/1002.3432 Latest version (application/pdf)

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:arx:papers:1002.3432

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().