论文标题
基于相关的财务网络和熵措施的观点
A perspective on correlation-based financial networks and entropy measures
论文作者
论文摘要
在这篇简短的评论中，我们批判性地研究了金融系统中基于相关的网络的最新工作。随着个人股票价格随着时间的流逝而构建的经验相关矩阵的结构随着时间的流逝而变化，显示有趣的进化模式，尤其是在关键事件（例如市场崩溃，气泡等）中。我们表明，基于相关的网络的研究及其与时间的进化有关，有助于提取基础市场动态的重要信息。我们还介绍了有关使用最近开发的熵测量的观点，例如结构性熵和特征 - 内部用于连续监测基于相关的网络。
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock prices fluctuate with time, showing interesting evolutionary patterns, especially during critical events such as market crashes, bubbles, etc. We show that the study of correlation-based networks and their evolution with time is useful for extracting important information of the underlying market dynamics. We, also, present our perspective on the use of recently developed entropy measures such as structural entropy and eigen-entropy for continuous monitoring of correlation-based networks.
