英文标题：
《State and Network Structures of Stock Markets around the Global
  Financial Crisis》
---
作者：
Jae Woo Lee, Ashadun Nobi
---
最新提交年份：
2018
---
英文摘要：
  We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal spanning tree (MST). In the threshold network, we assign a threshold value by using the mean and standard deviation of cross-correlation coefficients. When the threshold is equal to the mean of these coefficients, we observe a giant cluster composed of three economic zones in all three periods. We find that during the crisis, the countries in the Asian zone were weakly connected and those in the American zone were tightly linked to the countries in the European zone. At a large threshold, the three economic zones were fragmented. The European countries connected tightly, but the Asian countries bound weakly. The MST constructed from the distance matrix. In the MST, France remained a hub node in all three periods. The size of the MST shrank slightly during the crisis. We observe a scaling relation between the network distance of nodes from the central hub (France) and the geometrical distance. We observe the topological change of the financial network structure during the global financial crisis. The TN and MST are complementary roles to understand the connecting structure of financial complex networks. The TN reveals to observe the clustering effects and robustness of the cluster during the financial crisis. The MST shows the central hub and connecting node among the economic zones.
---
中文摘要：
我们考虑了2008年全球金融危机在危机之前、期间和之后对全球股市的影响。我们从互相关矩阵生成复杂网络，如阈值网络（TN）和最小生成树（MST）。在阈值网络中，我们使用互相关系数的平均值和标准偏差来指定阈值。当阈值等于这些系数的平均值时，我们观察到一个由三个经济区在所有三个时期组成的巨大集群。我们发现，在危机期间，亚洲地区的国家联系较弱，而美国地区的国家与欧洲地区的国家联系紧密。在很大程度上，这三个经济区是分散的。欧洲国家联系紧密，但亚洲国家联系较弱。由距离矩阵构造的MST。在MST中，法国在所有三个时期都是一个枢纽节点。危机期间，MST的规模略有缩小。我们观察到节点到中心枢纽（法国）的网络距离与几何距离之间的比例关系。我们观察了全球金融危机期间金融网络结构的拓扑变化。TN和MST是理解金融复杂网络连接结构的补充角色。TN揭示了金融危机期间集群的集群效应和鲁棒性。MST显示了经济区之间的中心枢纽和连接节点。
---
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
--

---
PDF下载：
-->