Publication:
Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack
Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack
| datacite.subject.fos | oecd::Social sciences::Economics and Business | |
| dc.contributor.author | Ngoc Kim Khanh Nguyen | |
| dc.contributor.author | Quang Nguyen | |
| dc.date.accessioned | 2022-11-19T01:55:06Z | |
| dc.date.available | 2022-11-19T01:55:06Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | We study the network constructed by the correlation coefficients between stocks which are listed in the Vietnamese stock exchanges. Network edges between nodes (stocks) are established if the correlations between stocks are higher than certain value (0.25). We found that this network is scale-free, having connectivity distribution P(k)∼k−γ (where k is the node connectivity) with a relatively low power exponent of γ∼1.0. This result accords with the highly co-movement of listed stocks in a market found previously. The low power-law distribution exponent coefficient corresponding to a dense connectivity makes it robust even under intentional attacks: its critical fraction is of range 30.77%−50.36%. Finally, we compare different intentional attack strategies and find that: if we want to fully break apart the network, recalculated degree distribution-based attack is the most efficient; if we only want to break the network to a certain level (for example, to break half of the size of the largest network component), the recalculated betweenness centrality-based attack is more efficient. This result may be used to enhance the structure design of some real-life network systems. | |
| dc.identifier.doi | 10.1007/978-3-319-73150-6_44 | |
| dc.identifier.isbn | 9783319731490 | |
| dc.identifier.isbn | 9783319731506 | |
| dc.identifier.uri | http://repository.vlu.edu.vn:443/handle/123456789/1428 | |
| dc.language.iso | en_US | |
| dc.relation.ispartof | Econometrics for Financial Applications | |
| dc.relation.ispartof | Studies in Computational Intelligence | |
| dc.relation.issn | 1860-949X | |
| dc.relation.issn | 1860-9503 | |
| dc.title | Resilience of Stock Cross Correlation Network to Random Breakdown and Intentional Attack | |
| dc.type | Resource Types::text::conference output::conference proceedings | |
| dspace.entity.type | Publication | |
| oairecerif.author.affiliation | #PLACEHOLDER_PARENT_METADATA_VALUE# | |
| oairecerif.author.affiliation | #PLACEHOLDER_PARENT_METADATA_VALUE# |
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