文献类型：期刊文献

英文题名：Renyi indices of financial minimum spanning trees

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

机构：[1]E China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai 200237, Peoples R China;[2]Acad Sinica, Inst Phys, 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：;WOS:【SCI-EXPANDED(收录号:WOS:000366785900080)】；

基金：This research was partially supported by the National Natural Science Foundation of China (Fund Number: 71371073) and Shanghai Pujiang Program of China (Fund Number: 13PJC025).

语种：英文

外文关键词：Renyi index; Minimum spanning tree; Financial market; Power law

摘要：The Renyi 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 Renyi index of the MST corresponding to S&P500 is evaluated, and the result shows that the Renyi 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. (C) 2015 Elsevier B.V. All rights reserved.