基于两轮最小生成树的股票网络模型构建

摘要

For the fact that applying the threshold method and the minimum spanning tree algorithm to construct the network of industry sector is not conducive to analysis the network topology characteristics further,we propose the second round minimum spanning tree algorithm(2nd-MST) to construct the network.This paper analyses the feasibility of the proposed method from the simulation and the empirical analysis,and then promotes this method further.Finally,this method is applied to conduct the research on the data of 65 industry sector from Shanghai and Shenzhen Stock Exchange,and its feasibility is verified by the analysis of the evolution law of industry sector from the three aspects of the key nodes,robustness and community structure.%针对阈值法和最小生成树算法构建的行业板块网络不利于进一步分析网络的拓扑特征,提出一种两轮最小生成树算法2nd-MST(The second round minimum spanning tree)构建网络的方法.从仿真和实证分析对该方法进行可行性分析,并对此方法进一步推广,运用收集的沪深交易所所有股票所属的65个行业板块的数据进行研究.从关键节点、鲁棒性和社团结构三个方面对其演化规律进行分析,进一步论证了该方法的可行性.