Structure and dynamics of stock market in times of crisis

作者：Zhao, Longfeng^*; Li, Wei; Cai, Xu

来源：Physics Letters, Section A: General, Atomic and Solid State Physics , 2016, 380(5-6): 654-666.

DOI：10.1016/j.physleta.2015.11.015

• Correlation-based network
• Financial crisis
• Market structure
• Market dynamics
• Power-law distribution
• Market backbone

Daily correlations among 322 S&P 500 constituent stocks are investigated by means of correlation-based (CB) network. By using the heterogeneous time scales, we identify global expansion and local clustering market behaviors during crises, which are mainly caused by community splits and inter-sector edge number decreases. The CB networks display distinctive community and sector structures. Graph edit distance is applied to capturing the dynamics of CB networks in which drastic structure reconfigurations can be observed during crisis periods. Edge statistics reveal the power-law nature of edges' duration time distribution. Despite the networks' strong structural changes during crises, we still find some long duration edges that serve as the backbone of the stock market. Finally the dynamical change of network structure has shown its capability in predicting the implied volatility index (VIX).

• 出版日期2016-2-15
• 单位华中师范大学