Network Structural Analysis On China Stock Market Based On Graphical Modeling

The study of graph model can be traced back to the study of genes in 1930 s.In recent years,the method of graph model has been applied more and more widely.Especially in stock correlation analysis.In the stock market,There are more variables involved,The method of graph model can not only reduce the estimated parameters,but also reduce the complexity of the problem and improve the working efficiency.by using the method of graph model allows us to see from intuitive figure that the relationship between the main domestic and international markets,help to promote the development of domestic and international financial market,to study the structure of the stock market and stock market movements of the judgment and risk analysis is very important.In this paper,a network structure identification method based on graph model is proposed and applied to China's shenzhen stock index.The nodes in the graph represent the industry stock returns,and the edges indicate a dependency relationship.The social network model in China's stock market with weights is therefore established and followed by the network densityand the characteristics of centrality.Empirical results show that real estate,architectural industry and financial index linked much stronger,while the manufacturing index,IT index,hydroelectric index and real estate index play a leading role in the network.It is verified in submarket phase analysis that the network density in our stock market structure density in bear market is much higher than in bull market.Finally,the method of time-varying hybrid graph model is proposed and applied to international stock market.The results show that Singapore and the UK are linked by information flows in Asia,Australia and Europe.Hong Kong's Hong Kong stock market plays a leading role in Asian and Australian equities.We can see from the time-varying chart that the links between hang seng and mainland China are getting closer and closer over time,and the link between Hong Kong's hang seng and nikkei and South Korea is weakening over time.