메뉴 건너뛰기




Volumn 391, Issue 13, 2012, Pages 3629-3637

Characterizing emerging European stock markets through complex networks: From local properties to self-similar characteristics

Author keywords

Clustering; Complex networks; Determinism; Multifractality; Stock markets

Indexed keywords

COMMERCE; FINANCIAL MARKETS;

EID: 84859160726     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.02.008     Document Type: Article
Times cited : (38)

References (20)
  • 1
    • 0036013593 scopus 로고    scopus 로고
    • Statistical mechanics of complex networks
    • R. Albert, and A.L. Barabasi Statistical mechanics of complex networks Rev. Modern Phys. 74 2002 47 97
    • (2002) Rev. Modern Phys. , vol.74 , pp. 47-97
    • Albert, R.1    Barabasi, A.L.2
  • 2
    • 33947724499 scopus 로고    scopus 로고
    • Characterization of complex networks: A survey of measurements
    • DOI 10.1080/00018730601170527, PII 773585981
    • L.F. Da Costa, F.A. Rodrigues, G. Travieso, and P.R. Villas Boas Characterization of complex networks: a survey of measurements Adv. Phys. 56 2007 167 242 (Pubitemid 46504905)
    • (2007) Advances in Physics , vol.56 , Issue.1 , pp. 167-242
    • Costa, L.D.F.1    Rodrigues, F.A.2    Travieso, G.3    Boas, P.R.V.4
  • 3
    • 0038718854 scopus 로고    scopus 로고
    • The structure and function of complex networks
    • M.E.J. Newman The structure and function of complex networks SIAM Rev. 2 2003 167 256
    • (2003) SIAM Rev. , Issue.2 , pp. 167-256
    • Newman, M.E.J.1
  • 4
    • 33847643355 scopus 로고    scopus 로고
    • Extracting hidden fluctuation patterns of Hang Seng stock index from network topologies
    • DOI 10.1016/j.physa.2006.10.089, PII S0378437106010430
    • P. Li, and B.-H. Wang Extracting hidden fluctuations patterns of Hang Seng stock index from network topologies Physica A 378 2007 519 526 (Pubitemid 46367473)
    • (2007) Physica A: Statistical Mechanics and its Applications , vol.378 , Issue.2 , pp. 519-526
    • Li, P.1    Wang, B.-H.2
  • 6
    • 78649710793 scopus 로고    scopus 로고
    • Superfamily classification of nonstationary time series based on DFA scaling exponents
    • C. Liu, and W.-X. Zhou Superfamily classification of nonstationary time series based on DFA scaling exponents J. Phys. A Math. Theor. 43 2009 495005
    • (2009) J. Phys. A Math. Theor. , vol.43 , pp. 495005
    • Liu, C.1    Zhou, W.-X.2
  • 7
    • 3042831202 scopus 로고    scopus 로고
    • A theory of power-law distributions in financial market fluctuations
    • DOI 10.1038/nature01624
    • X. Gabaix, P. Gopikrishnan, V. Plerou, and H.E. Stanley A theory of power-law distributions in financial market fluctuations Nature 423 2003 267 270 (Pubitemid 40852693)
    • (2003) Nature , vol.423 , Issue.6937 , pp. 267-270
    • Gabaix, X.1    Gopikrishnan, P.2    Plerou, V.3    Stanley, H.E.4
  • 8
    • 79551603376 scopus 로고    scopus 로고
    • Network topologies of shanghai stock index
    • J. Zhang, H. Zhou, L. Jiang, and Y. Wang Network topologies of shanghai stock index Phys. Procedia 3 2010 1733 1740
    • (2010) Phys. Procedia , vol.3 , pp. 1733-1740
    • Zhang, J.1    Zhou, H.2    Jiang, L.3    Wang, Y.4
  • 9
    • 80052143709 scopus 로고    scopus 로고
    • Volatility transmission in emerging European foreign exchange markets
    • V. Bubak, E. Kocenda, and F. Zikes Volatility transmission in emerging European foreign exchange markets J. Bank. Finan. 35 2011 2829 2841
    • (2011) J. Bank. Finan. , vol.35 , pp. 2829-2841
    • Bubak, V.1    Kocenda, E.2    Zikes, F.3
  • 10
    • 27944444058 scopus 로고    scopus 로고
    • Does the efficient market hypothesis. hold? Evidence from sixtransition economies
    • T. Jagric, B. Podobnik, and M. Kolanovic Does the efficient market hypothesis. hold? Evidence from sixtransition economies East. Eur. Econ. 43 3 2005 85
    • (2005) East. Eur. Econ. , vol.43 , Issue.3 , pp. 85
    • Jagric, T.1    Podobnik, B.2    Kolanovic, M.3
  • 11
    • 78049261890 scopus 로고    scopus 로고
    • The use of the Hurst exponent to predict changes in trends on the Warsaw stock exchange
    • K. Domino The use of the Hurst exponent to predict changes in trends on the Warsaw stock exchange Physica A 390 2011 98
    • (2011) Physica A , vol.390 , pp. 98
    • Domino, K.1
  • 12
    • 77951157210 scopus 로고    scopus 로고
    • Recurrence networks a novel paradigm for nonlinear time series analysis
    • R.V. Donner, Y. Zhou, J.F. Donges, N. Marwan, and J. Kurths Recurrence networks a novel paradigm for nonlinear time series analysis New J. Phys. 12 2010
    • (2010) New J. Phys. , vol.12
    • Donner, R.V.1    Zhou, Y.2    Donges, J.F.3    Marwan, N.4    Kurths, J.5
  • 13
    • 58149499440 scopus 로고    scopus 로고
    • Superfamily phenomena and motifs of networks induced from time series
    • X. Xu, J. Zhang, and M. Small Superfamily phenomena and motifs of networks induced from time series P. Natl. Acad. Sci. USA 105 2008 19601 19605
    • (2008) P. Natl. Acad. Sci. USA , vol.105 , pp. 19601-19605
    • Xu, X.1    Zhang, J.2    Small, M.3
  • 14
    • 33745216051 scopus 로고    scopus 로고
    • Complex networks form pseudoperiodic time series: Topology versus dynamics
    • J. Zhang, and M. Small Complex networks form pseudoperiodic time series: topology versus dynamics Phys. Rev. Lett. 96 2006 238701
    • (2006) Phys. Rev. Lett. , vol.96 , pp. 238701
    • Zhang, J.1    Small, M.2
  • 15
    • 32844471789 scopus 로고    scopus 로고
    • Detecting chaos in pseudoperiodic time series without embedding
    • J. Zhang, X. Luo, and M. Small Detecting chaos in pseudoperiodic time series without embedding Phys. Rev. E 73 2006 16216
    • (2006) Phys. Rev. e , vol.73 , pp. 16216
    • Zhang, J.1    Luo, X.2    Small, M.3
  • 16
    • 33744789678 scopus 로고    scopus 로고
    • Statistical self-similar properties of complex networks
    • C.-Y. Lee, and S. Jung Statistical self-similar properties of complex networks Phys. Rev. E 2006
    • (2006) Phys. Rev. e
    • Lee, C.-Y.1    Jung, S.2
  • 19
    • 80052598711 scopus 로고    scopus 로고
    • Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes
    • 23201324
    • X.-Y. Qian, G.-F. Gu, and W.-X. Zhou Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes Physica A 2324 2011 4388 4395
    • (2011) Physica A , pp. 4388-4395
    • Qian, X.-Y.1    Gu, G.-F.2    Zhou, W.-X.3
  • 20
    • 84884274892 scopus 로고    scopus 로고
    • Use of recurrence quantification analysis in economic time series
    • M. Salzano, A. Kirman, Springer-Verlag Milan
    • J.P. Zbilut Use of recurrence quantification analysis in economic time series M. Salzano, A. Kirman, Economics: Complex Windows 2009 Springer-Verlag Milan 91 104
    • (2009) Economics: Complex Windows , pp. 91-104
    • Zbilut, J.P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.