基于复杂网络理论的期货指数网络的研究  

Research on Futures Index based on Complex Network Theory

作　　者：张鼎[1] 庄新田[1] 卢文娟[1] 曲红涛[1] 

机构地区：[1]东北大学工商管理学院,沈阳110819

出　　处：《系统管理学报》2014年第1期70-76,90,共8页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71171042;71101024;71001022;71271047);教育部人文社会科学研究项目(12YJC790018);中国博士后科学基金面上项目(2012M510076);中央高校基本科研业务费(N110606002)

摘　　要：利用复杂网络理论研究期货指数之间的相关性及其整体特性,分别对期货指数网络的小世界效应、同配性、拓扑结构以及度的分布进行研究,分析期货指数和整体经济之间的关系。选取文华财经发布的40个期货指数为节点,指数点位波动相关性为边,分别构建无权和有权的网络。网络特性分析结果表明,期货指数无权复杂网络在小阈值下具有典型的小世界网络特征,且在国内外品种之间以及农产品和非农产品之间具有较高的同配性。期货指数有权复杂网络不具有无标度特性。从品种上看,在网络中影响比较大的是原油、铜等世界经济中最重要的工业原料,期货指数对整体期货网络的影响程度反映出相对应的各个期货品种对世界经济的影响程度。从国内外品种对整体市场影响程度的角度来看,在国外交易的期货品种对市场影响较大;而在国内交易的期货品种对市场影响较小。We study the relativity and the overall characters of the futures indexes based on complex network theory. Small-world effect, assortative mixing, the topological structures and the degree distributions of the futures index network are observed. The relationship between the futures indexes and the industries is analyzed. The unweighted and weighted complex networks are built, which takes 40 futures indexes in the Webstock as nodes, and with the correlation of the futures indexes＇ fluctuation as boundaries. Then, the topological structures of the networks are analyzed utilizing the theories of complex network. The results show that the unweighted complex network has the small-world effect with the small threshold. The unweighted complex network has the obvious assortative mixing between the domestic and abroad futures indexes. It also has the less obvious assortative mixing between the agricultural and non- agricultural futures indexes. The weighted complex network does not have the scale-free property. The oil and copper which are the most important industry materials in the world economy, have more influence in the network. The impact of the futures indexes on the futures market reflects the impact of the futures categories on the world economy. From the point of view of domestic and foreign categories, the foreign futures have more influence on the market, and the domestic futures have less influence on the market.

关 键 词：期货指数 复杂网络 小世界效应 同配性 度分布 

分 类 号：F830[经济管理—金融学]