Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack
We study the network constructed by the correlation coefficients between stocks which are listed in the Vietnamese stock exchanges. Network edges between nodes (stocks) are established if the correlations between stocks are higher than certain value (0.25). We found that this network is scale-free,...
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2022
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| Truy cập trực tuyến: | http://repository.vlu.edu.vn:443/handle/123456789/1428 |
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oai:http:--repository.vlu.edu.vn-:123456789-14282022-11-19T08:55:06Z Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack Ngoc Kim Khanh Nguyen Quang Nguyen We study the network constructed by the correlation coefficients between stocks which are listed in the Vietnamese stock exchanges. Network edges between nodes (stocks) are established if the correlations between stocks are higher than certain value (0.25). We found that this network is scale-free, having connectivity distribution P(k)∼k−γ (where k is the node connectivity) with a relatively low power exponent of γ∼1.0. This result accords with the highly co-movement of listed stocks in a market found previously. The low power-law distribution exponent coefficient corresponding to a dense connectivity makes it robust even under intentional attacks: its critical fraction is of range 30.77%−50.36%. Finally, we compare different intentional attack strategies and find that: if we want to fully break apart the network, recalculated degree distribution-based attack is the most efficient; if we only want to break the network to a certain level (for example, to break half of the size of the largest network component), the recalculated betweenness centrality-based attack is more efficient. This result may be used to enhance the structure design of some real-life network systems. 2022-11-19T01:55:06Z 2022-11-19T01:55:06Z 2017 Resource Types::text::conference output::conference proceedings 9783319731490 9783319731506 http://repository.vlu.edu.vn:443/handle/123456789/1428 10.1007/978-3-319-73150-6_44 en_US Econometrics for Financial Applications Studies in Computational Intelligence 1860-949X 1860-9503 application/pdf |
| institution |
Trường Đại học Văn Lang |
| collection |
DSpaceVLU |
| language |
en_US |
| description |
We study the network constructed by the correlation coefficients between stocks which are listed in the Vietnamese stock exchanges. Network edges between nodes (stocks) are established if the correlations between stocks are higher than certain value (0.25). We found that this network is scale-free, having connectivity distribution P(k)∼k−γ (where k is the node connectivity) with a relatively low power exponent of γ∼1.0. This result accords with the highly co-movement of listed stocks in a market found previously. The low power-law distribution exponent coefficient corresponding to a dense connectivity makes it robust even under intentional attacks: its critical fraction is of range 30.77%−50.36%. Finally, we compare different intentional attack strategies and find that: if we want to fully break apart the network, recalculated degree distribution-based attack is the most efficient; if we only want to break the network to a certain level (for example, to break half of the size of the largest network component), the recalculated betweenness centrality-based attack is more efficient. This result may be used to enhance the structure design of some real-life network systems. |
| format |
Resource Types::text::conference output::conference proceedings |
| author |
Ngoc Kim Khanh Nguyen Quang Nguyen |
| spellingShingle |
Ngoc Kim Khanh Nguyen Quang Nguyen Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack |
| author_facet |
Ngoc Kim Khanh Nguyen Quang Nguyen |
| author_sort |
Ngoc Kim Khanh Nguyen |
| title |
Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack |
| title_short |
Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack |
| title_full |
Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack |
| title_fullStr |
Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack |
| title_full_unstemmed |
Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack |
| title_sort |
resilience of stock cross correlation network to random breakdown and intentional attack |
| publishDate |
2022 |
| url |
http://repository.vlu.edu.vn:443/handle/123456789/1428 |
| work_keys_str_mv |
AT ngockimkhanhnguyen resilienceofstockcrosscorrelationnetworktorandombreakdownandintentionalattack AT quangnguyen resilienceofstockcrosscorrelationnetworktorandombreakdownandintentionalattack |
| _version_ |
1792767620531879936 |