Weiqiong Zhong

Characteristics of the transmission of autoregressive sub-patterns in financial time series

There are many types of autoregressive patterns in financial time series, and they form a transmission process. Here, we define autoregressive patterns quantitatively through an econometrical regression model. We present a computational algorithm that sets the autoregressive patterns as nodes and transmissions between patterns as edges, and then converts the transmission process of autoregressive patterns in a time series into a network. We utilised daily Shanghai (securities) composite index time series to study the transmission characteristics of autoregressive patterns. We found statistically significant evidence that the financial market is not random and that there are similar characteristics between parts and whole time series. A few types of autoregressive sub-patterns and transmission patterns drive the oscillations of the financial market. A clustering effect on fluctuations appears in the transmission process, and certain non-major autoregressive sub-patterns have high media capabilities in the financial time series. Different stock indexes exhibit similar characteristics in the transmission of fluctuation information. This work not only proposes a distinctive perspective for analysing financial time series but also provides important information for investors.

Features of the Correlation Structure of Price Indices

What are the features of the correlation structure of price indices? To answer this question, 5 types of price indices, including 195 specific price indices from 2003 to 2011, were selected as sample data. To build a weighted network of price indices each price index is represented by a vertex, and a positive correlation between two price indices is represented by an edge. We studied the features of the weighted network structure by applying economic theory to the analysis of complex network parameters. We found that the frequency of the price indices follows a normal distribution by counting the weighted degrees of the nodes, and we identified the price indices which have an important impact on the networks structure. We found out small groups in the weighted network by the methods of k-core and k-plex. We discovered structure holes in the network by calculating the hierarchy of the nodes. Finally, we found that the price indices weighted network has a small-world effect by calculating the shortest path. These results provide a scientific basis for macroeconomic control policies.