Can financial crisis be detected? Laplacian energy measure

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成果类型：

期刊论文

作者：

Huang, Chuangxia;Deng, Yunke;Yang, Xin;Yang, Xiaoguang;Cao, Jinde

通讯作者：

Xin Yang

作者机构：

[Yang, Xin; Deng, Yunke; Huang, Chuangxia] Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Peoples R China.

[Yang, Xin; Huang, Chuangxia] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Peoples R China.

[Deng, Yunke] Univ Chinese Acad Sci, cSch Econ & Management, Beijing, Peoples R China.

[Yang, Xiaoguang] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China.

[Cao, Jinde] Southeast Univ, Sch Math, Nanjing, Peoples R China.

通讯机构：

[Xin Yang] S

School of Mathematics and Statistics, Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science and Technology, Changsha, People’s Republic of China<&wdkj&>School of Economics & Management, Changsha University of Science and Technology, Changsha, People’s Republic of China

语种：

英文

关键词：

Financial crisis;complex network;Laplacian energy;network structure;seasonal-trend decomposition procedure based on loess (STL)

期刊：

EUROPEAN JOURNAL OF FINANCE

ISSN：

1351-847X

年：

2023

卷：

期：

页码：

949-976

DOI：

10.1080/1351847X.2022.2091946

基金类别：

Research for this paper was supported by the National Natural Science Foundation of China [Nos. 72192800, 72101035, 71471020] and the Excellent Youth Foundation of Educational Committee of Hunan Provincial [No.21B0339]. The authors are grateful to the editor and anonymous reviewers for their constructive comments, which led to a significant improvement of our original manuscript.

机构署名：

本校为第一机构

院系归属：

经济与管理学院

数学与统计学院

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...

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Can financial crisis be detected? Laplacian energy measure

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