基于复杂网络理论的上证A股网络结构及其特征分析  

Analysis of the Complex Network Structure and Characteristics of Shanghai Stock Market Based on Complex Network Theory

作　　者：刘广 刘艺萍 柯凡尘 肖文鑫 LIU Guang;LIU Yiping;KE Fanchen;XIAO Wenxin(School of Economics and Statistics,Guangzhou University,Guangzhou 510006,China)

机构地区：[1]广州大学经济与统计学院

出　　处：《软件工程》2020年第1期30-34,共5页Software Engineering

基　　金：国家社科基金项目“机构投资者网络与企业资本配置效率改善研究”(19BJY249);广东省自然科学基金项目“产业融合、科技创新与资本配置效率：机理分析与实证检验”(2017A030313420)

摘　　要：基于复杂网络理论,使用上证A股2009-2014年的周收益率数据,根据相关系数大小确定阈值并构建其复杂网络结构,进行网络度数中心性、凝聚子群和小世界效应等特征分析,发现能源、交通运输和房地产类股票在沪市中占据重要地位,其波动对整个市场的影响较大;部分股票在不同"团体"中出现,或与同类股票形成"小世界"。研究揭示了A股市场的微观复杂结构,对把握市场主要矛盾运动和转化方向、实施系统性风险管理等具有重要启示。Based on complex networks theory,this paper firstly chooses the weekly earnings data of the Shanghai stock market’s stocks during 2009 to 2014.Then this paper determines threshold according to their correlation coefficients,and construct their complex networks.At last,the characteristics of the complex networks,such as degree centrality,cohesive subgroup and small-world effect,are comprehensively analyzed.This paper finds that the stocks of energy,transportation and real estate have been occupying an important position in the Shanghai stock market.Their volatilities have a great impact on the whole market.Some stocks appear in different groups,or form a"small world"with the same kind of stocks.The study reveals the micro-level complex structure of A-share market,which provides important enlightenment to grasp the main contradiction movement,transforming direction of the market,and implement systematic risk management.

关 键 词：复杂网络 度数中心度 凝聚子群 小世界效应 

分 类 号：TP391[自动化与计算机技术—计算机应用技术]