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Adaptive financial networks with static and dynamic thresholds

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  • Tian Qiu
  • Bo Zheng
  • Guang Chen

Abstract

Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large fluctuation induced by the cross-correlation of individual stock prices, and leads to a stable topological structure in the dynamic evolution. Long-range time-correlations are revealed for the average clustering coefficient, average degree and cross-correlation of degrees. The dynamic network shows a two-peak behavior in the degree distribution.

Suggested Citation

  • Tian Qiu & Bo Zheng & Guang Chen, 2010. "Adaptive financial networks with static and dynamic thresholds," Papers 1002.3432, arXiv.org.
    • Handle: RePEc:arx:papers:1002.3432
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    File URL: http://arxiv.org/pdf/1002.3432
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