基于分位图方法的股票市场分析  

Quantile Graphs for Stock Markets Analysis

作　　者：师野 顾长贵 阎爽 王海英 杨会杰 SHI Ye;GU Changgui;YAN Shuang;WANG Haiying;YANG Huijie(Department of Systems Science,Business School,University of Shanghai for Science and Technology,Shanghai 200093)

机构地区：[1]上海理工大学管理学院系统科学系,上海200093

出　　处：《系统科学与数学》2023年第7期1663-1676,共14页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(11875042)资助课题。

摘　　要：复杂网络已被广泛应用于探究复杂系统的规律.文章使用分位图方法,分别将中国市场的上证指数、深证成指、中国香港恒生指数和美国市场的纳斯达克指数、道琼斯工业指数和标准普尔指数六支股指日收盘价序列映射到复杂网络,对股指分位图的特性进行分析,探究这两个的股票市场网络结构的变化.结果表明,首先同一市场的股指序列分位图网络特性较为接近,而不同市场之间的差别较大;其次,中国的上证指数和深证成指具有长程相关性,中国香港恒生指数较为随机,而美国市场的三支股指序列偏反长程相关;最后,两个市场的分位图网络存在不同的社团结构.该方法从宏观的角度揭示不同地区股票市场的性质和潜在动力学行为,并且可以为股指趋势预测提供丰富的信息.Complex networks have been widely used to explore the regular pattern of complex systems.This paper uses the quantile graphs method to map the daily closing price series of six stock indexes in different markets to a complex network.It analyzes the characteristics of the quantile graphs of stock indexes,and explores the changes of the network structure of stock markets in two different regions.The results show that,firstly,the network characteristics of stock index series quantile graphs in the same market are similar,but there are great differences between these two markets.Secondly,Shanghai Securities Composite Index and Shenzhen Securities Component Index have long-range correlation,and Hong Kong Hang Seng index is relatively random,but the three stock indexes in the US market,include SP 500Index,NASDAQ Composite Index and Dow Jones Industrial Average,are inversely long-range correlation.Finally,the quantile graphs of the two markets have different community structures.This method reveals the nature and potential dynamic behavior of stock markets in different regions from a macro perspective,and it can provide a wealth of information for stock index forecasting.

关 键 词：复杂网络 股指序列 分位图 

分 类 号：O157.5[理学—数学] F831.51[理学—基础数学]