英文标题：
《Correlation and Network Topologies in Global and Local Stock Indices》
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作者：
Ashadun Nobi, Sungmin Lee, Doo Hwan Kim, and Jae Woo Lee
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最新提交年份：
2014
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英文摘要：
  This study examined how the correlation and network structure of 30 global indices and 145 local Korean indices belonging to the KOSPI 200 have changed during the 13-year period, 2000-2012. The correlations among the indices were calculated. The results showed that although the average correlations of the global indices increased with time, the local indices showed a decreasing trend except for drastic changes during crises. The average correlation of the local indices exceeded the global indices during the crises from 2000-2002, implying a strong correlation structure among the local indices during this period due to the detrimental effect of the dot-com bubble. The threshold networks (TN) were constructed in the observation time window by assigning a threshold value and determining the network topologies. A significant change in the network topologies was observed due to the financial crises in both markets. The Jaccard similarities were also determined using the common links of TNs. The TNs of the financial network were not consistent with the evolution of the time, and the successive TNs of the global indices were more similar than those of the successive local indices. Finally, the Jaccard similarities identified the change in the market state due to a crisis in both markets.
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中文摘要：
本研究考察了在2000-2012年的13年间，属于KOSPI 200的30个全球指数和145个韩国本地指数的相关性和网络结构如何发生变化。计算了各指标之间的相关性。结果表明，尽管全球指数的平均相关性随着时间的推移而增加，但除了危机期间的剧烈变化外，局部指数呈下降趋势。在2000年至2002年的危机期间，本地指数的平均相关性超过了全球指数，这意味着由于互联网泡沫的不利影响，本地指数在这段时间内具有很强的相关性结构。通过设定阈值并确定网络拓扑结构，在观测时间窗内构建阈值网络（TN）。由于两个市场的金融危机，观察到网络拓扑结构发生了重大变化。使用TNs的公共链接也确定了Jaccard的相似性。金融网络的TNs与时间的演变不一致，全球指数的连续TNs比连续的本地指数更相似。最后，Jaccard的相似性确定了由于两个市场的危机而导致的市场状态的变化。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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