| 基于双重加权网络的股票强相关性分析 |
| |
| 引用本文： | 兰旺森,赵国浩.基于双重加权网络的股票强相关性分析[J].数学的实践与认识,2011,41(13). |
| |
| 作者姓名： | 兰旺森 赵国浩 |
| |
| 作者单位： | 1. 山西忻州师范学院数学系,山西忻州,034000
2. 山西财经大学管理科学与工程学院,山西太原,030006 |
| |
| 基金项目： | 国家自然科学基金(70873079,70941022); 山西省高等学校科技研究开发项目(20091148) |
| |
| 摘 要： | 为分析股票间的强相关性,合理构建投资组合,选择中国股市煤炭电力板块93支股票,以股票上市时间至2011年2月11日每日收盘价和成交量,建立双重加权网络模型.在模型中,顶点是股票,双重边分别由股票间的成交量相关和回报相关建立,边上的权就是相关系数值.研究结果表明,网络顶点度服从幂律分布,负幂指数δ值约为0.02;单网络顶点度呈现"翘翘板"特点,即一个单网络中度大的顶点在另一个单网络中度很小;网络的模块具有同源性,即模块中顶点来自同一板块;网络的最大生成树明显以板块形成树分枝;网络树EGO结构体现企业间存在的生产材料和业务供求关系.
|
| 关 键 词： | 双重加权网络 股票 相关性 |
Strong Correlation Analysis of Stocks Based Double Weighted Networks |
| |
| LAN Wang-sen,ZHAO Guo-hao.Strong Correlation Analysis of Stocks Based Double Weighted Networks[J].Mathematics in Practice and Theory,2011,41(13). |
| |
| Authors: | LAN Wang-sen ZHAO Guo-hao |
| |
| Institution: | LAN Wang-sen,ZHAO Guo-hao (1.Department of Mathematic,Xinzhou Teachers University,Xinzhou 034000,China) (2.School of Management Science and Engineering,Shanxi Finance and Economics University,Taiyuan 030006,China) |
| |
| Abstract: | To analyze strong correlation among stocks,and construct portfolio reasonably, a double weighted network was modeled by 93 stocks of coal & power sectors in China stock market.Data series of a stock consisted of daily closing prices and trade volumes from the day when the stock listing to February 11,2011.In the model,vertices were the stocks, which were linked by both trade volume correlation and return correlation among stocks,and weights on edges were correlation coefficients.The research shows that(1)ve... |
| |
| Keywords: | double weighted networks stock correlation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
