Can financial crisis be detected? Laplacian energy measure

doi:10.1080/1351847X.2022.2091946

	Can financial crisis be detected? Laplacian energy measure
	Huang, Chuangxia 1,2; Deng, Yunke 1,3; Yang, Xin 1,2; Yang, Xiaoguang 4; Cao, Jinde 5,6
刊名	EUROPEAN JOURNAL OF FINANCE
	2022-06-29
页码	28
关键词	Financial crisis complex network Laplacian energy network structure seasonal-trend decomposition procedure based on loess (STL)
ISSN号	1351-847X
DOI	10.1080/1351847X.2022.2091946
英文摘要	How to rapidly and accurately detect the financial crisis is one of the fundamental and challenging problems in the field of financial risk management. This paper aims to develop a novel network characteristic indicator to deal with this issue. Specifically, we select the daily closing price of stocks spanning from 2006 to 2020 in China's A-share market to establish a series of complex networks, and extract Laplacian energy measure as a new network indicator. By employing the method of seasonal-trend decomposition procedure based on loess, the proposed indicator successfully detects the global financial crisis, the Eurozone debt crisis, the Chinese stock market crash, the Sino-US trade friction and the COVID-19 pandemic. Furthermore, compared with the traditional topological indicators (e.g. global efficiency, average clustering coefficient, characteristic path length and network density), the proposed indicator demonstrates the outstanding characteristics of higher identification accuracy, wider application range and faster response speed. Lastly, the robustness of the Laplacian energy measure in the financial crisis detection is further confirmed in the US, UK, German, French and Spanish stock markets.
资助项目	National Natural Science Foundation of China[72192800] ; National Natural Science Foundation of China[72101035] ; National Natural Science Foundation of China[71471020] ; Excellent Youth Foundation of Educational Committee of Hunan Provincial[21B0339]
WOS研究方向	Business & Economics
语种	英语
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号	WOS:000817881700001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/61208]
专题	中国科学院数学与系统科学研究院
通讯作者	Yang, Xin
作者单位	1.Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Peoples R China 2.Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Peoples R China 3.Univ Chinese Acad Sci, cSch Econ & Management, Beijing, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 5.Southeast Univ, Sch Math, Nanjing, Peoples R China 6.Yonsei Univ, Yonsei Frontier Lab, Seoul, South Korea
推荐引用方式 GB/T 7714	Huang, Chuangxia,Deng, Yunke,Yang, Xin,et al. Can financial crisis be detected? Laplacian energy measure[J]. EUROPEAN JOURNAL OF FINANCE,2022:28.
APA	Huang, Chuangxia,Deng, Yunke,Yang, Xin,Yang, Xiaoguang,&Cao, Jinde.(2022).Can financial crisis be detected? Laplacian energy measure.EUROPEAN JOURNAL OF FINANCE,28.
MLA	Huang, Chuangxia,et al."Can financial crisis be detected? Laplacian energy measure".EUROPEAN JOURNAL OF FINANCE (2022):28.