Relationship between Entropy and Dimension of Financial Correlation-Based Network

Autor:	Chun-xiao Nie, Fu-tie Song
Jazyk:	angličtina
Rok vydání:	2018
Předmět:	fractal dimension Rényi index minimum spanning tree (MST) planar maximally filtered graph (PMFG) finance Science Astrophysics QB460-466 Physics QC1-999
Zdroj:	Entropy, Vol 20, Iss 3, p 177 (2018)
Druh dokumentu:	article
ISSN:	1099-4300 20030177
DOI:	10.3390/e20030177
Popis:	We analyze the dimension of a financial correlation-based network and apply our analysis to characterize the complexity of the network. First, we generalize the volume-based dimension and find that it is well defined by the correlation-based network. Second, we establish the relationship between the Rényi index and the volume-based dimension. Third, we analyze the meaning of the dimensions sequence, which characterizes the level of departure from the comparison benchmark based on the randomized time series. Finally, we use real stock market data from three countries for empirical analysis. In some cases, our proposed analysis method can more accurately capture the structural differences of networks than the power law index commonly used in previous studies.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/5317927d7a644cd6a6d802473c1aa77f Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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