Can financial crisis be detected? Laplacian energy measure
文献类型：期刊论文
| 作者 | Huang, Chuangxia1,2; Deng, Yunke1,3; Yang, Xin1,2; Yang, Xiaoguang4; Cao, Jinde5,6 |
| 刊名 | EUROPEAN JOURNAL OF FINANCE
 |
| 出版日期 | 2022-06-29 |
| 页码 | 28 |
| 关键词 | Financial crisis complex network Laplacian energy network structure seasonal-trend decomposition procedure based on loess (STL) |
| ISSN号 | 1351-847X |
| DOI | 10.1080/1351847X.2022.2091946 |
| 英文摘要 | How to rapidly and accurately detect the financial crisis is one of the fundamental and challenging problems in the field of financial risk management. This paper aims to develop a novel network characteristic indicator to deal with this issue. Specifically, we select the daily closing price of stocks spanning from 2006 to 2020 in China's A-share market to establish a series of complex networks, and extract Laplacian energy measure as a new network indicator. By employing the method of seasonal-trend decomposition procedure based on loess, the proposed indicator successfully detects the global financial crisis, the Eurozone debt crisis, the Chinese stock market crash, the Sino-US trade friction and the COVID-19 pandemic. Furthermore, compared with the traditional topological indicators (e.g. global efficiency, average clustering coefficient, characteristic path length and network density), the proposed indicator demonstrates the outstanding characteristics of higher identification accuracy, wider application range and faster response speed. Lastly, the robustness of the Laplacian energy measure in the financial crisis detection is further confirmed in the US, UK, German, French and Spanish stock markets. |
| 资助项目 | National Natural Science Foundation of China[72192800] ; National Natural Science Foundation of China[72101035] ; National Natural Science Foundation of China[71471020] ; Excellent Youth Foundation of Educational Committee of Hunan Provincial[21B0339] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000817881700001 |
| 出版者 | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/61208]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Yang, Xin |
| 作者单位 | 1.Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Peoples R China 2.Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Peoples R China 3.Univ Chinese Acad Sci, cSch Econ & Management, Beijing, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 5.Southeast Univ, Sch Math, Nanjing, Peoples R China 6.Yonsei Univ, Yonsei Frontier Lab, Seoul, South Korea |
| 推荐引用方式 GB/T 7714 | Huang, Chuangxia,Deng, Yunke,Yang, Xin,et al. Can financial crisis be detected? Laplacian energy measure[J]. EUROPEAN JOURNAL OF FINANCE,2022:28. |
| APA | Huang, Chuangxia,Deng, Yunke,Yang, Xin,Yang, Xiaoguang,&Cao, Jinde.(2022).Can financial crisis be detected? Laplacian energy measure.EUROPEAN JOURNAL OF FINANCE,28. |
| MLA | Huang, Chuangxia,et al."Can financial crisis be detected? Laplacian energy measure".EUROPEAN JOURNAL OF FINANCE (2022):28. |
入库方式： OAI收割
来源：数学与系统科学研究院
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