Dynamic evolution of securities market network structure under acute fluctuation circumstances

DOI10.1155/2017/4370203zbMath1377.91173OpenAlexW2767296647MaRDI QIDQ1687425

Haifei Liu, Zuhan Hu, Ting-Qiang Chen

Publication date: 3 January 2018

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/4370203

zbMATH Keywords

stock marketdirected weighted networksnetwork fluctuationnetwork structure stability

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Cites Work

• Network and eigenvalue analysis of financial transaction networks
• Correlation based networks of equity returns sampled at different time horizons
• Systemic risk, financial markets, and performance of financial institutions
• Financial fragility and distress propagation in a network of regions
• An entropy model of credit risk contagion in the CRT market
• A network model of credit risk contagion
• Contagion risk in endogenous financial networks

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