DYNAMICAL ANALYSES USING VISIBILITIES IN FINANCIAL MARKETS

被引：9

作者：

Min, Seungsik ^{[1
]}

Lim, Kyuseong ^{[2
]}

Chang, Ki-Ho ^{[3
]}

Park, Il-Hwan ^{[4
]}

Kim, Kyungsik ^{[5
]}

机构：

[1] Korea Naval Acad, Dept Nat Sci, Chang Won 656797, South Korea

[2] Korea Adv Inst Sci & Technol, Dept Phys, Daejeon 305701, South Korea

[3] Natl Inst Meteorol Sci, Appl Forecast Meteorol Res Div, Seogwipo, South Korea

[4] Korea Meteorol Adm, Natl Typhoon Ctr, Seoul 156720, South Korea

[5] Pukyong Natl Univ, Dept Phys, Busan 608737, South Korea

来源：

FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY | 2016年 / 24卷 / 02期

基金：

新加坡国家研究基金会;

关键词：

Visibility Graph; KOSPI; KOSDAQ; Global Efficiency; Modularity; Assortative Coefficient; TIME-SERIES; COMPLEX-NETWORK; STOCK-MARKET; BEHAVIOR; GRAPH; TURBULENCE; INDEX;

D O I：

10.1142/S0218348X1650016X

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, the network metrics are studied in a time series of the KOSPI and the KOSDAQ indices converting by the visibility graph algorithm. The degree distributions for the KOSPI and the KOSDAQ are proportional to a power law rather than the Poisson distribution. Since we mainly simulate and analyze the network metrics from the nodes and its links, our result cannot be found unambiguously to have universal and characteristic properties of statistical quantities via financial networks. Particularly, these topological properties may improve by implementing the statistical method and its technique from altered data of financial networks.

引用

页数：7

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