英文标题：
《Structure and causality relations in a global network of financial
  companies》
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作者：
Leonidas Sandoval Junior
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最新提交年份：
2013
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英文摘要：
  This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can assess which companies influence others according to sub-areas of the financial sector, which are banks, diversified financial services, savings and loans, insurance, private equity funds, real estate investment companies, and real estate trust funds. We also analyzed the causality relations between those stocks and the network formed by them based on this measure, verifying that they cluster mainly according to countries of origin, and then by industry and sub-industry. Then we collected data on the stocks of companies in the financial sector of some countries that are suffering the most with the current credit crisis: Greece, Cyprus, Ireland, Spain, Portugal, and Italy, and assess, also using transfer entropy, which companies from the largest 197 are most affected by the stocks of these countries in crisis. The intention is to map a network of influences that may be used in the study of possible contagions originating in those countries in financial crisis.
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中文摘要：
这项工作使用了世界上197家市值最大的公司在金融领域的股票，并使用转移熵研究了它们之间的因果关系。转移熵是使用这些公司的股票及其落后一天的同行计算得出的。我们可以根据金融、房地产、保险、房地产和其他领域的投资，对储蓄和其他领域进行评估。我们还分析了这些股票与基于这一衡量标准形成的网络之间的因果关系，验证了它们主要根据原产国，然后根据行业和子行业进行集群。然后，我们收集了一些受当前信贷危机影响最大的国家（希腊、塞浦路斯、爱尔兰、西班牙、葡萄牙和意大利）金融部门公司的股票数据，并使用转移熵评估了197家最大的公司中受这些危机国家股票影响最大的公司。其目的是绘制一个影响网络图，用于研究源自金融危机国家的可能传染。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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