Detection of Comoving Groups in a Financial Market
Detection of Comoving Groups in a Financial Market
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金融市场中移动群体的检测
DOI：
10.1007/978-3-642-29977-3_48
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发表时间：
2012
期刊：
影响因子：
--
通讯作者：
T. Yoshikawa
中科院分区：
文献类型：
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作者：
松倉悠;米田達弘;石田寛;Ken Yamane and Masahiko Morita;T. Yoshikawa
我们在KES-IDT 2011上报告了隐藏在东京证券交易所（TSE）市场中的相关性结构。通过将TSE市场看作一个网络（股票和相关系数分别对应于节点和节点之间链接的权重），最小化节点间的挫折，将股票分解为4个共同运动的群体，形成共同体.其中三个是强烈的相互关系，其余的是相对中立的其余社区。在本文中，我们进一步扩展了以前的工作，以检测社区内的紧耦合组，“汉密尔顿”是用来代替挫折。哈密顿算子具有两个参数，其控制要提取的相关性的强度程度。研究发现，电器、银行、电力供应、信息通信、证券期货、保险等六大行业构成了社区的强核心。
We reported a correlation structure hidden in the Tokyo Stock Exchange (TSE) market at KES-IDT2011. By regarding the TSE market as a network (stocks and correlation coefficients correspond to nodes and weights of links between nodes, respectively) and minimizing the Frustration among nodes, the stocks were decomposed into four comoving groups forming communities. Three of them are strongly anticorrelated to each other, and the remainder is comparatively neutral to the rest of the communities. In this paper we further extend the previous work to detect tightly-coupled groups within the communities; “Hamiltonian” is used instead of the Frustration. The Hamiltonian has two parameters which control degree of strength for correlations to be extracted. It is found that six sectors (Electric Appliance, Banks, Electric Power & Supply, Information & Communication, Securities & Commodity Futures, and Insurance) form strong cores in the communities.