• Complex
  • Title
  • Keyword
  • Abstract
  • Scholars
  • Journal
  • ISSN
  • Conference
成果搜索

author:

Cui, Xiaodong (Cui, Xiaodong.) [1] | Hu, Jun (Hu, Jun.) [2] | Ma, Yiming (Ma, Yiming.) [3] | Wu, Peng (Wu, Peng.) [4] (Scholars:吴鹏) | Zhu, Peican (Zhu, Peican.) [5] | Li, Hui-Jia (Li, Hui-Jia.) [6]

Indexed by:

SSCI SCIE

Abstract:

Complex network is now widely used in a series of disciplines such as biology, physics, mathematics, sociology and so on. In this paper, we construct the stock price trend network based on the knowledge of complex network, and then propose a method based on information entropy to divide the stock network into some communities, that is, a gathering study of stock price trend. We construct time series networks for each stock in Chinese A-share market based on time series network model, and then use these networks to divide the stock market into communities. We find that the average trend of stocks in the same community is the same as the trend of market value weighting, but the average trend of stocks in different communities is quite different and the sequence correlation is low. This conclusion shows that stocks in the same community share the same price trend, while the stock trend in different communities varies. This paper is a successful application of complex network and information entropy in stock trend analysis, which mainly includes two contributions. First, the success of the visibility graph algorithm provides a new perspective for enriching stock price trend modeling. Second, our conclusion proves that the clustering based on information entropy theory is effective, which provides a new method for further research on stock price trend, portfolio construction and stock return prediction.

Keyword:

communities information entropy stock price network Time series visibility graph

Community:

  • [ 1 ] [Cui, Xiaodong]Northwestern Polytech Univ, Sch Marine Sci & Technol, Xian 710072, Peoples R China
  • [ 2 ] [Hu, Jun]Fuzhou Univ, Sch Econ & Management, Fuzhou 350108, Peoples R China
  • [ 3 ] [Wu, Peng]Fuzhou Univ, Sch Econ & Management, Fuzhou 350108, Peoples R China
  • [ 4 ] [Ma, Yiming]ICBC Wealth Manager Co LTD, Beijing 100032, Peoples R China
  • [ 5 ] [Zhu, Peican]Northwestern Polytech Univ, Sch Comp Sci & Engn, Xian 710072, Peoples R China
  • [ 6 ] [Li, Hui-Jia]Beijing Univ Posts & Telecommun, Sch Sci, Beijing 100876, Peoples R China

Reprint 's Address:

  • 胡军

    [Hu, Jun]Fuzhou Univ, Sch Econ & Management, Fuzhou 350108, Peoples R China

Show more details

Related Keywords:

Source :

INTERNATIONAL JOURNAL OF MODERN PHYSICS B

ISSN: 0217-9792

Year: 2021

Issue: 13

Volume: 35

1 . 4 0 4

JCR@2021

2 . 6 0 0

JCR@2023

ESI Discipline: PHYSICS;

ESI HC Threshold:87

JCR Journal Grade:3

CAS Journal Grade:4

Cited Count:

WoS CC Cited Count: 15

SCOPUS Cited Count: 15

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 3

Online/Total:1177/13889396
Address:FZU Library(No.2 Xuyuan Road, Fuzhou, Fujian, PRC Post Code:350116) Contact Us:0591-22865326
Copyright:FZU Library Technical Support:Beijing Aegean Software Co., Ltd. 闽ICP备05005463号-1