文献类型：期刊文献

英文题名：Relationship between Entropy and Dimension of Financial Correlation-Based Network

作者：Nie, Chun-xiao[1];Song, Fu-tie[1]

机构：[1]East China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai 200237, Peoples R China

年份：2018

卷号：20

期号：3

外文期刊名：ENTROPY

收录：;WOS:【SSCI(收录号:WOS:000428507100031)，SCI-EXPANDED(收录号:WOS:000428507100031)】；

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：fractal dimension; Renyi index; minimum spanning tree (MST); planar maximally filtered graph (PMFG); finance

摘要：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 Renyi 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.