Theoretical analyses of stock correlations affected by subprime crisis and total assets: Network properties and corresponding physical mechanisms
Theoretical analyses of stock correlations affected by subprime crisis and total assets: Network properties and corresponding physical mechanisms
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次贷危机影响的股票与总资产相关性的理论分析：网络属性及相应的物理机制
DOI：
10.1088/1674-1056/ab3f22
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发表时间：
2019
影响因子：
1.7
通讯作者：
Bing-Hong Wang
中科院分区：
文献类型：
--
作者：
Shi-Zhao Zhu;Yu-Qing Wang;Bing-Hong Wang
在统计力学和系统科学领域，金融危机对股市的影响是公认的。然而，以往的研究并没有考虑企业总资产对股票价格的影响。与以往的研究不同，本文引入了一个修正的互相关矩阵，重点研究了总资产对股票报价的影响，并对亚洲和美国股市的股票进行了实证分析。主要结果如下。第一，股票与大资产的相关性大于与小资产的相关性。其次，股票之间的相关系数越高，特征向量越大。第三，在不同的时期，如次贷危机前和次贷危机高峰期，亚洲股市表现出互相关矩阵的第三特征向量分量随着企业资产的减少而减少。第四，通过模拟阈值网络，由10只大资产股票构成的小网络可以表现出由30只股票构成的大网络状态。在本研究中，我们打算充分解释理解股票之间的历史相关性的物理机制，并提供未来的风险控制策略。
In the field of statistical mechanics and system science, it is acknowledged that the financial crisis has a profound influence on stock market. However, the influence of total asset of enterprise on stock quote was not considered in the previous studies. In this work, a modified cross-correlation matrix that focuses on the influence of total asset on stock quote is introduced into the analysis of the stocks collected from Asian and American stock markets, which is different from the previous studies. The key results are obtained as follows. Firstly, stock is more greatly correlated with big asset than with small asset. Secondly, the higher the correlation coefficient among stocks, the larger the eigenvector is. Thirdly, in different periods, like the pre-subprime crisis period and the peak of subprime crisis period, Asian stock quotes show that the component of the third eigenvector of the cross-correlation matrix decreases with the asset of the enterprise decreasing. Fourthly, by simulating the threshold network, the small network constructed by 10 stocks with large assets can show the large network state constructed by 30 stocks. In this research we intend to fully explain the physical mechanism for understanding the historical correlation between stocks and provide risk control strategies in the future.