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Structure and Connectivity Analysis of Financial Complex System Based on G-Causality Network
Xu, CM; Yan, Y; Zhu, XW; Li, XT; Chen, XS; Xu, CM (reprint author), Univ Chinese Acad Sci, Sch Management, Beijing 100080, Peoples R China.
2013
发表期刊COMMUNICATIONS IN THEORETICAL PHYSICS
ISSN0253-6102
卷号60期号:5页码:630-636
摘要The recent financial crisis highlights the inherent weaknesses of the financial market. To explore the mechanism that maintains the financial market as a system, we study the interactions of U.S. financial market from the network perspective. Applied with conditional Granger causality network analysis, network density, in-degree and out-degree rankings are important indicators to analyze the conditional causal relationships among financial agents, and further to assess the stability of U.S. financial systems. It is found that the topological structure of G-causality network in U.S. financial market changed in different stages over the last decade, especially during the recent global financial crisis. Network density of the G-causality model is much higher during the period of 2007-2009 crisis stage, and it reaches the peak value in 2008, the most turbulent time in the crisis. Ranked by in-degrees and out-degrees, insurance companies are listed in the top of 68 financial institutions during the crisis. They act as the hubs which are more easily influenced by other financial institutions and simultaneously influence others during the global financial disturbance.
部门归属[Xu Chuan-Ming; Yan Yan] Univ Chinese Acad Sci, Sch Management, Beijing 100080, Peoples R China; [Zhu Xiao-Wu] China Univ Polit Sci & Law, Sch Business, Beijing 100088, Peoples R China; [Li Xiao-Teng; Chen Xiao-Song] Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China
关键词Contagion Market
学科领域Physics
资助者National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law
收录类别SCI
语种英语
资助者National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law ; National Natural Science Foundation of China [71103179, 71102129, 11121403]; Program for Young Innovative Research Team in China University of Political Science and Law
WOS记录号WOS:000327776900020
引用统计
被引频次:3[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符http://ir.itp.ac.cn/handle/311006/15255
专题理论物理所SCI论文
通讯作者Xu, CM (reprint author), Univ Chinese Acad Sci, Sch Management, Beijing 100080, Peoples R China.
推荐引用方式
GB/T 7714
Xu, CM,Yan, Y,Zhu, XW,et al. Structure and Connectivity Analysis of Financial Complex System Based on G-Causality Network[J]. COMMUNICATIONS IN THEORETICAL PHYSICS,2013,60(5):630-636.
APA Xu, CM,Yan, Y,Zhu, XW,Li, XT,Chen, XS,&Xu, CM .(2013).Structure and Connectivity Analysis of Financial Complex System Based on G-Causality Network.COMMUNICATIONS IN THEORETICAL PHYSICS,60(5),630-636.
MLA Xu, CM,et al."Structure and Connectivity Analysis of Financial Complex System Based on G-Causality Network".COMMUNICATIONS IN THEORETICAL PHYSICS 60.5(2013):630-636.
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