Market Structure as a Network with Positively and Negatively Weighted Links
Market Structure as a Network with Positively and Negatively Weighted Links
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市场结构作为具有正权重和负权重链接的网络
DOI：
10.1007/978-3-642-22194-1_50
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Takeo Yoshikawa
中科院分区：
文献类型：
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作者：
Yumiko KASAI;Leslie Maniotes;Lim Peng Han;Susan La Marca;守岡知彦;河村和徳;日比谷孟俊;Takeo Yoshikawa
从网络的角度研究了东京证券交易所市场的关联结构。通过随机矩阵理论提炼出股价变动的关联矩阵，并将其作为网络的邻接矩阵。这样构建的股票网络具有加权链接，而且这些权重甚至可以是负数。通过最小化节点间的挫折度，将种群分解为四个共生种群，形成群落，其中三个种群之间具有很强的反相关性。这些集团之间这种受挫的三角关系可能会导致复杂的市场行为。
Correlation structure in the Tokyo Stock Exchange market is studied from a network viewpoint. The correlation matrix of stock price changes, purified by random matrix theory, is regarded as an adjacency matrix for a network. The stock network thus constructed has weighted links and furthermore those weights can be even negative. By minimizing of the frustration among nodes, it is found that the stocks are decomposed into four comoving groups forming communities, three of which are strongly anticorrelated to each other. Such a frustrated triangle relationship among the groups may give rise to complicated market behavior.