Block & Comovement Effect of Stock Market in Financial Complex Network

Chongwei Du; Xiong Wang; Liyin Qiu

Complex Sciences. First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009, Revised Papers, Part 2

Research Article

Block & Comovement Effect of Stock Market in Financial Complex Network

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@INPROCEEDINGS{10.1007/978-3-642-02469-6_6,
    author={Chongwei Du and Xiong Wang and Liyin Qiu},
    title={Block \& Comovement Effect of Stock Market in Financial Complex Network},
    proceedings={Complex Sciences. First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009, Revised Papers, Part 2},
    proceedings_a={COMPLEX PART 2},
    year={2012},
    month={5},
    keywords={block \& comovement effect complex network community structure correlative coefficient Girvan-Newman algorithm faction delay-correlation prediction},
    doi={10.1007/978-3-642-02469-6_6}
}

Chongwei Du
Xiong Wang
Liyin Qiu
Year: 2012
Block & Comovement Effect of Stock Market in Financial Complex Network
COMPLEX PART 2
Springer
DOI: 10.1007/978-3-642-02469-6_6

Chongwei Du¹^,*, Xiong Wang¹^,*, Liyin Qiu¹^,*

1: Shanghai Jiao Tong University

*Contact email: visucl.dcw@gmail.com, wangxiong8686@gmail.com, qiuliyin@gmail.com

Abstract

In the work, we present a method to analyze block & comovement effect of stock market by finding out the community structure in the financial complex network. We choose the stocks from Shanghai and Shenzhen 300 Index as data source and convert them into the complex network in matrix format which is based on the measurements of correlation we proposed in this paper. The classical GN algorithm and the NetDraw tool are applied to obtain the modularity and draw all the community structures. The results of our work can offer not only the internal information about the capital flows in the stock market but also the prediction of variation and trend line of some stocks with delay-correlation.

Keywords: block & comovement effect complex network community structure correlative coefficient Girvan-Newman algorithm faction delay-correlation prediction

Published: 2012-05-11

: http://dx.doi.org/10.1007/978-3-642-02469-6_6