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题名: Structure and Connectivity Analysis of Financial Complex System Based on G-Causality Network
作者: Xu, CM ;  Yan, Y ;  Zhu, XW ;  Li, XT ;  Chen, XS
刊名: COMMUNICATIONS IN THEORETICAL PHYSICS
出版日期: 2013
卷号: 60, 期号:5, 页码:630-636
关键词: CONTAGION ;  MARKET
学科分类: Physics
通讯作者: Xu, CM (reprint author), Univ Chinese Acad Sci, Sch Management, Beijing 100080, Peoples R China.
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
英文摘要: 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.
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
收录类别: SCI
语种: 英语
WOS记录号: WOS:000327776900020
Citation statistics: 
内容类型: 期刊论文
URI标识: http://ir.itp.ac.cn/handle/311006/15255
Appears in Collections:理论物理所2013年知识产出 _期刊论文

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Recommended Citation:
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.
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