文献类型：期刊文献

英文题名：Rényi indices of financial minimum spanning trees

作者：Nie, Chun-Xiao[1]; Song, Fu-Tie[1]; Li, Sai-Ping[2]

机构：[1] Department of Finance, School of Business, East China University of Science and Technology, Shanghai, 200237, China; [2] Institute of Physics, Academia Sinica, Nankang, Taipei, 11529, Taiwan

年份：2016

卷号：444

起止页码：883

外文期刊名：Physica A: Statistical Mechanics and its Applications

收录：EI(收录号：20154601547208)

语种：英文

外文关键词：Commerce - Topology - Brownian movement - Stars

摘要：The Rényi index is used here to describe topological structures of minimum spanning trees (MSTs) of financial markets. We categorize the topological structures of MSTs as dragon, star and super-star types. The MST based on Geometric Brownian motion is of dragon type, the MST constructed by One-Factor Model is super-star type, and most MSTs based on real market data belong to the star type. The Rényi index of the MST corresponding to S&P500 is evaluated, and the result shows that the Rényi index varies significantly in different time periods. In particular, it rose during crises and dropped when the S&P500 index rose significantly. A comparison study between the CSI300 index of the Chinese market and the S&P500 index shows that the MST structure of the CSI300 index varies more dramatically than the MST structure of the S&P500. ? 2015 Elsevier B.V. All rights reserved.