论文标题
中国股票市场的稳定性：网络上的RICCI曲率测量和预测
Stability of China's Stock Market: Measure and Forecast by Ricci Curvature on Network
论文作者
论文摘要
股市的系统性稳定性是金融领域的核心问题之一。市场可以被视为一个复杂的网络，其节点是通过表示其相关强度的边缘连接的库存。由于市场是一个强烈的非线性系统，因此很难衡量宏观稳定性并及时描绘市场波动。在本文中，我们使用从离散RICCI曲率得出的几何测量方法来捕获金融网络的高阶非线性体系结构。为了确认我们的方法的有效性，我们使用它来分析2005 - 2020年中国股票市场的CSI 300个成分，并通过网络的RICCI型曲线来量化市场的系统稳定性。此外，我们使用混合模型来分析曲率时间序列并准确预测市场的未来趋势。据我们所知，这是第一篇应用RICCI曲率预测国内股票市场的系统稳定性的论文，我们的结果表明，RICCI曲率对市场稳定具有良好的解释能力，并且可以判断未来的国内市场风险和波动性的良好指标。
The systemic stability of a stock market is one of the core issues in the financial field. The market can be regarded as a complex network whose nodes are stocks connected by edges that signify their correlation strength. Since the market is a strongly nonlinear system, it is difficult to measure the macroscopic stability and depict market fluctuations in time. In this paper, we use a geometric measure derived from discrete Ricci curvature to capture the higher-order nonlinear architecture of financial networks. In order to confirm the effectiveness of our method, we use it to analyze the CSI 300 constituents of China's stock market from 2005--2020 and the systemic stability of the market is quantified through the network's Ricci type curvatures. Furthermore, we use a hybrid model to analyze the curvature time series and predict the future trends of the market accurately. As far as we know, this is the first paper to apply Ricci curvature to forecast the systemic stability of domestic stock market, and our results show that Ricci curvature has good explanatory power for the market stability and can be a good indicator to judge the future risk and volatility of the domestic market.
