Constructing financial network based on PMFG and threshold method

摘要

Based on planar maximally filtered graph (PMFG) and threshold method, we introduced a correlation-based network named PMFG-based threshold network (PTN). We studied the community structure of PTN and applied ISOMAP algorithm to represent PTN in low dimensional Euclidean space. The results show that the community corresponds well to the cluster in the Euclidean space. Further, we studied the dynamics of the community structure and constructed the normalized mutual information (NMI) matrix. Based on the real data in the market, we found that the volatility of the market can lead to dramatic changes in the community structure, and the structure is more stable during the financial crisis. (C) 2017 Elsevier B.V. All rights reserved.