Zinuoqi Wang, Guofeng Zhang, Xiaojing Ma, Ruixian Wang
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引用次数: 0
Abstract
Investigating the significant “roles” within financial complex networks and their stability is of great importance for preventing financial risks. On one hand, this paper initially constructs a complex network model of the stock market based on mutual information theory and threshold methods, combined with the closing price returns of stocks. It then analyzes the basic topological characteristics of this network and examines its stability under random and targeted attacks by varying the threshold values. On the other hand, using systemic risk entropy as a metric to quantify the stability of the stock market, this paper validates the impact of the COVID-19 pandemic as a widespread, unexpected event on network stability. The research results indicate that this complex network exhibits small-world characteristics but cannot be strictly classified as a scale-free network. In this network, key roles are played by the industrial sector, media and information services, pharmaceuticals and healthcare, transportation, and utilities. Upon reducing the threshold, the network’s resilience to random attacks is correspondingly strengthened. Dynamically, from 2000 to 2022, systemic risk in significant industrial share markets significantly increased. From a static perspective, the period around 2019, affected by the COVID-19 pandemic, experienced the most drastic fluctuations. Compared to the year 2000, systemic risk entropy in 2022 increased nearly sixtyfold, further indicating an increasing instability within this complex network.
期刊介绍:
Entropy (ISSN 1099-4300), an international and interdisciplinary journal of entropy and information studies, publishes reviews, regular research papers and short notes. Our aim is to encourage scientists to publish as much as possible their theoretical and experimental details. There is no restriction on the length of the papers. If there are computation and the experiment, the details must be provided so that the results can be reproduced.