Publication:
Dynamic topology and allometric scaling behavior on the Vietnamese stock market
Dynamic topology and allometric scaling behavior on the Vietnamese stock market
| datacite.subject.fos | oecd::Social sciences::Economics and Business | |
| dc.contributor.author | Q. Nguyen | |
| dc.contributor.author | N.K. K. Nguyen | |
| dc.contributor.author | L.H. N. Nguyen | |
| dc.date.accessioned | 2022-11-09T11:46:23Z | |
| dc.date.available | 2022-11-09T11:46:23Z | |
| dc.date.issued | 2019 | |
| dc.description.abstract | The impact of the Vietnamese financial crisis during 2011–2012 into the stock market was revealed by a structural change of the minimum spanning tree (MST) constructed from the daily stock price. We found that the MST has a star-like structure during this period, similar to that of the German market during the worldwide financial crisis of 2007–2008 (M. Wiliski et al., 2013), and a hierarchical scale-free structure for the rest of time. In addition, we investigate the market from a complex network perspective by analyzing the allometric scaling behavior. We found that all networks have the allometric scaling property, with exponent η ranging from 1.213±0.013 during the financial instability period to about 1.357±0.011 in normal time. These values correspond to a complex “dimension” of the financial market of between 3 and 5, which need to be further investigated in the future. | |
| dc.identifier.doi | 10.1016/j.physa.2018.09.061 | |
| dc.identifier.uri | http://repository.vlu.edu.vn:443/handle/123456789/1161 | |
| dc.language.iso | en_US | |
| dc.relation.ispartof | Physica A: Statistical Mechanics and its Applications | |
| dc.relation.issn | 0378-4371 | |
| dc.subject | Financial crisis | |
| dc.subject | Complex network | |
| dc.subject | Minimum spanning tree | |
| dc.subject | Allometric scaling | |
| dc.title | Dynamic topology and allometric scaling behavior on the Vietnamese stock market | |
| dc.type | journal-article | |
| dspace.entity.type | Publication | |
| oaire.citation.volume | 514 |
Files
Original bundle
1 - 2 of 2
No Thumbnail Available
- Name:
- AS520_09. Dynamic topology and allometric scaling behavior on the Vietnamese stock market - ScienceDirect.pdf
- Size:
- 295.87 KB
- Format:
- Adobe Portable Document Format
- Description:
License bundle
1 - 1 of 1
No Thumbnail Available
- Name:
- license.txt
- Size:
- 1.71 KB
- Format:
- Item-specific license agreed to upon submission
- Description: