以Kendall's秩相关系数作为网络边权值,构建复杂网络,测度国际证券市场指数收益率序列的波动相关性,分析该复杂网络的拓扑结构,发现该网络具有显著小世界特性,无明显无标度特性,并存在三大社区。研究结果与市场现实之间存在较好的对应关系,证明方法的有效性。
The complex network is established to measure correlations in fluctuation among index return series of stock markets from various countries, with the Kendall’s τ rank correlation coefficient as the edge weight. The network topology characteristics are studied and analysis results show that the international stock market network is endowed with small-world effect, without scale-free nature and three communities are found. The results agree with reality,which has certain instructive effect on the setting of immunization strategies.
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