Department of Physics, Zhejiang University, Hangzhou 310027, P.R. China.
Sci Rep. 2014 Jun 17;4:5321. doi: 10.1038/srep05321.
With the network methods and random matrix theory, we investigate the interaction structure of communities in financial markets. In particular, based on the random matrix decomposition, we clarify that the local interactions between the business sectors (subsectors) are mainly contained in the sector mode. In the sector mode, the average correlation inside the sectors is positive, while that between the sectors is negative. Further, we explore the time evolution of the interaction structure of the business sectors, and observe that the local interaction structure changes dramatically during a financial bubble or crisis.
利用网络方法和随机矩阵理论，我们研究了金融市场中社区的相互作用结构。特别是，基于随机矩阵分解，我们阐明了行业（子行业）之间的局部相互作用主要包含在部门模式中。在部门模式中，部门内的平均相关性为正，而部门之间的相关性为负。此外，我们还研究了商业部门相互作用结构的时间演化，并观察到在金融泡沫或危机期间，局部相互作用结构发生了巨大变化。
