上海股市单边下跌股票风险复杂网络特性分析  

Analyzing Characteristics of the Complex Network of Stock Risk During Unilateral Decline of the Shanghai Stock Market

作　　者：张鼎[1] 庄新田[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110819

出　　处：《东北大学学报（自然科学版）》2011年第4期604-608,共5页Journal of Northeastern University(Natural Science)

基　　金：国家自然科学基金资助项目(70871022)

摘　　要：利用股票VaR数组对股票中短期风险进行模拟,并以上海市场股票为节点,利用股票VaR数组之间的相关系数作为权值构建一个无向无权网络,即股票中短期风险复杂网络,并对其进行复杂网络特性分析.结果表明:所构建网络具有小世界效应;在特定情况下具有无标度特性,而在大多数情况下,并不具有无标度特性;单边下跌条件下,各支股票的价格波动影响较大,而各支股票的风险相互影响较小;时间跨度较小的情况下,持有不同股票所遭受的损失相差较大;而时间跨度较大的情况下,持有不同股票所遭受的损失相差较小.Short-term stock risk was simulated with a VaR array.An undirected and unweighted stock short-term risk network was built taking stocks from the Shanghai stock market,with the correlation of the VaR arrays of stocks used as boundaries.Then,the topological structure of the network was analyzed utilizing the theories and methodology of complex networks.The complex network of short-term risk of stocks had a small-world effect with a scale-free property at specified times,though in most cases the scale-free characteristic was not observed.Under conditions of unilateral decline,price fluctuations for individual stocks was relatively high,although the mutual risk impact of each stock was lower.In a shorter term,the difference in losses between holding different stocks was relatively large,while over the longer term,the difference was smaller.

关 键 词：股票中短期风险 复杂网络 VaR数组 小世界效应 无标度特性 

分 类 号：F830[经济管理—金融学]