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Wang, L; Yan, Y1; Li, XT; Chen, XS
General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures
发表期刊PLOS ONE
语种英语
关键词COMPLEX NETWORKS STOCK-MARKET DYNAMICS
摘要PCA has been widely used in many fields to detect dominant principle components, but it ignores the information embedded in the remaining components. As a supplement to PCA, we propose the General Component Analysis (GCA). The inverse participation ratios (IPRs) are used to identify the global components (GCs) and localized components (LCs). The mean values of the IPRs derived from the shuffled data are taken as the natural threshold, which is exquisite and novel. In this paper, the Chinese corporate bond market is analyzed as an example. We propose a novel network method to divide time periods based on micro data, which performs better in capturing the time points when the market state switches. As a result, two periods have been obtained. There are two GCs in both periods, which are influenced by terms to maturity and ratings. Besides, there are 382 LCs in Period 1 and 166 LCs in Period 2. In the LC portfolios there are two interesting bond collections which are helpful to understand the thoughts of the investors. One is the supper AAA bond collection which is believed to have implicit governmental guarantees by the investors, and the other is the overcapacity industrial bond collection which is influenced by the supply-side reform led by the Chinese government. GCA is expected to be applied to other complex systems.
2018
ISSN1932-6203
卷号13期号:7页码:e0199500
学科领域Science & Technology - Other Topics
学科门类Multidisciplinary Sciences
DOI10.1371/journal.pone.0199500
收录类别SCIE
引用统计
文献类型期刊论文
条目标识符http://ir.itp.ac.cn/handle/311006/22868
专题理论物理所科研产出_SCI论文
作者单位1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
2.Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing, Peoples R China
3.Chinese Acad Sci, Inst Theoret Phys, Beijing, Peoples R China
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GB/T 7714
Wang, L,Yan, Y,Li, XT,et al. General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures[J]. PLOS ONE,2018,13(7):e0199500.
APA Wang, L,Yan, Y,Li, XT,&Chen, XS.(2018).General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures.PLOS ONE,13(7),e0199500.
MLA Wang, L,et al."General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures".PLOS ONE 13.7(2018):e0199500.
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