英文标题：
《Modular Dynamics of Financial Market Networks》
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作者：
Filipi N. Silva, Cesar H. Comin, Thomas K. DM. Peron, Francisco A.
  Rodrigues, Cheng Ye, Richard C. Wilson, Edwin Hancock, Luciano da F. Costa
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最新提交年份：
2015
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英文摘要：
  The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism, which establishes a time-evolving network of trades among companies and individuals. Such network can be inferred through correlations between time series of companies stock prices, allowing the overall system to be characterized by techniques borrowed from network science. Here we study the presence of communities in the inferred stock market network, and show that the knowledge about the communities alone can provide a nearly complete representation of the system topology. This is done by defining a simple null model, a randomized version of the studied network sharing only the sizes and interconnectivity between communities observed. We show that many topological characteristics of the inferred networks are carried over the networks generated by the null model. In particular, we find that in periods of instability, such as during a financial crisis, the network strays away from a state of well-defined community structure to a much more uniform topological organization. We show that the framework presented here provides a good null model representation of topological variations taking place in the market during crises. Also, the general approach used in this work can be extended to other systems.
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中文摘要：
金融市场是一个复杂的动态系统，由银行、公司和机构等多个实体之间的各种复杂关系组成。该系统的核心是股票交易机制，它在公司和个人之间建立了一个随时间变化的交易网络。这种网络可以通过公司股票价格时间序列之间的相关性来推断，从而使整个系统能够通过借鉴网络科学的技术来表征。在这里，我们研究了推断出的股票市场网络中社区的存在，并表明仅关于社区的知识就可以提供系统拓扑结构的几乎完整的表示。这是通过定义一个简单的零模型来实现的，该模型是研究网络的随机版本，只共享观察到的社区之间的大小和互联性。我们证明了推断网络的许多拓扑特征是通过空模型生成的网络进行的。特别是，我们发现，在不稳定的时期，比如金融危机期间，网络偏离了定义良好的社区结构状态，变成了一个更加统一的拓扑组织。我们表明，本文提出的框架提供了一个很好的零模型来表示危机期间市场中发生的拓扑变化。此外，这项工作中使用的一般方法可以扩展到其他系统。
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分类信息：

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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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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