Cerqueti Roy, Rotundo Giulia, Ausloos Marcel
Department of Social and Economic Sciences, Sapienza University of Rome, p.le A. Moro 5, 00185 Roma, Italy.
School of Business, London South Bank University, London SE1 0AA, UK.
Entropy (Basel). 2020 Jun 17;22(6):676. doi: 10.3390/e22060676.
In this work, we develop the Tsallis entropy approach for examining the cross-shareholding network of companies traded on the Italian stock market. In such a network, the nodes represent the companies, and the links represent the ownership. Within this context, we introduce the out-degree of the nodes-which represents the diversification-and the in-degree of them-capturing the integration. Diversification and integration allow a clear description of the industrial structure that were formed by the considered companies. The stochastic dependence of diversification and integration is modeled through copulas. We argue that copulas are well suited for modelling the joint distribution. The analysis of the stochastic dependence between integration and diversification by means of the Tsallis entropy gives a crucial information on the reaction of the market structure to the external shocks-on the basis of some relevant cases of dependence between the considered variables. In this respect, the considered entropy framework provides insights on the relationship between in-degree and out-degree dependence structure and market polarisation or fairness. Moreover, the interpretation of the results in the light of the Tsallis entropy parameter gives relevant suggestions for policymakers who aim at shaping the industrial context for having high polarisation or fair joint distribution of diversification and integration. Furthermore, a discussion of possible parametrisations of the in-degree and out-degree marginal distribution-by means of power laws or exponential functions- is also carried out. An empirical experiment on a large dataset of Italian companies validates the theoretical framework.
在这项工作中,我们开发了Tsallis熵方法来研究在意大利股票市场上市的公司的交叉持股网络。在这样的网络中,节点代表公司,链接代表所有权。在此背景下,我们引入节点的出度(代表多元化)和入度(体现整合度)。多元化和整合能够清晰地描述由所考虑的公司形成的产业结构。多元化和整合的随机依赖性通过copulas进行建模。我们认为copulas非常适合对联合分布进行建模。基于所考虑变量之间的一些相关依赖情况,通过Tsallis熵对整合与多元化之间的随机依赖性进行分析,能够提供有关市场结构对外部冲击反应的关键信息。在这方面,所考虑的熵框架能够深入了解入度和出度依赖结构与市场极化或公平性之间的关系。此外,根据Tsallis熵参数对结果进行解释,能为旨在塑造产业环境以实现高极化或多元化与整合公平联合分布的政策制定者提供相关建议。此外,还通过幂律或指数函数对入度和出度边际分布的可能参数化进行了讨论。对意大利公司的一个大型数据集进行的实证实验验证了该理论框架。