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为分析股票间的强相关性,合理构建投资组合,选择中国股市煤炭电力板块93支股票,以股票上市时间至2011年2月11日每日收盘价和成交量,建立双重加权网络模型.在模型中,顶点是股票,双重边分别由股票间的成交量相关和回报相关建立,边上的权就是相关系数值.研究结果表明,网络顶点度服从幂律分布,负幂指数δ值约为0.02;单网络顶点度呈现“翘翘板”特点,即一个单网络中度大的顶点在另一个单网络中度很小;网络的模块具有同源性,即模块中顶点来自同一板块;网络的最大生成树明显以板块形成树分枝;网络树EGO结构体现企业间存在的生产材料和业务供求关系.
In order to analyze the strong correlation between stocks and build a reasonable investment portfolio, 93 stocks in the coal power sector of China’s stock market were selected to establish a double-weighted network model based on daily closing prices and trading volumes from the time of stock listing until February 11, 2011. At In the model, the vertices are stocks, and the double sides are respectively established by the correlation between the stocks and the returns. The weights on the edges are the correlation coefficients. The results show that the vertex degree of the network obeys the power law distribution and the negative exponent δ is about 0.02; the vertex degree of single network shows the characteristic of “seesaw”, that is, the vertex with a moderate degree in a single network is very small in another single network; the modules in the network have homology, that is, the vertices in the module come from the same plate ; The maximum spanning tree of the network obviously forms a tree branch by the plate; the EGO structure of the network tree reflects the relationship between the supply of production materials and the business between the enterprises.