Liquidity Commonality Effect in Stock Market and Risk Correlation from the Perspective of Complex Network.
Haoyuan FengJie WuKun GuoPublished in: ITQM (2021)
Keyphrases
- stock market
- complex networks
- portfolio optimization
- financial markets
- chinese stock market
- stock exchange
- portfolio management
- short term
- stock price
- financial time series
- stock index futures
- scale free
- social networks
- trading rules
- social network analysis
- long term
- financial data
- graph theory
- investment strategies
- early warning
- network structure
- maximal cliques
- investment decisions
- stock trading
- information theoretic concepts
- stock data
- risk management
- listed companies
- stock market data
- community structure
- financial news
- stock returns
- network evolution
- garch model
- market data
- trading strategies
- power law
- data mining