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Topological Characteristics of the Hong Kong Stock Market: A Test-based P-threshold Approach to Understanding Network Complexity.


ABSTRACT: In this paper, we analyze the relationship among stock networks by focusing on the statistically reliable connectivity between financial time series, which accurately reflects the underlying pure stock structure. To do so, we firstly filter out the effect of market index on the correlations between paired stocks, and then take a t-test based P-threshold approach to lessening the complexity of the stock network based on the P values. We demonstrate the superiority of its performance in understanding network complexity by examining the Hong Kong stock market. By comparing with other filtering methods, we find that the P-threshold approach extracts purely and significantly correlated stock pairs, which reflect the well-defined hierarchical structure of the market. In analyzing the dynamic stock networks with fixed-size moving windows, our results show that three global financial crises, covered by the long-range time series, can be distinguishingly indicated from the network topological and evolutionary perspectives. In addition, we find that the assortativity coefficient can manifest the financial crises and therefore can serve as a good indicator of the financial market development.

SUBMITTER: Xu R 

PROVIDER: S-EPMC5286437 | biostudies-literature | 2017 Feb

REPOSITORIES: biostudies-literature

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Topological Characteristics of the Hong Kong Stock Market: A Test-based P-threshold Approach to Understanding Network Complexity.

Xu Ronghua R   Wong Wing-Keung WK   Chen Guanrong G   Huang Shuo S  

Scientific reports 20170201


In this paper, we analyze the relationship among stock networks by focusing on the statistically reliable connectivity between financial time series, which accurately reflects the underlying pure stock structure. To do so, we firstly filter out the effect of market index on the correlations between paired stocks, and then take a t-test based P-threshold approach to lessening the complexity of the stock network based on the P values. We demonstrate the superiority of its performance in understand  ...[more]