Structure and Connectivity Analysis of Financial Complex System Based on G-Causality Network

• Published in: 理论物理通讯：英文版 2013, Vol.60 (11), p.630-636
• Main Author: 徐传明 闫妍 朱晓武 李晓腾 陈晓松
• Format: Article
• Language: English
• Subjects: 因果网络; 复杂系统; 拓扑结构; 网络密度; 连通性分析; 金融危机; 金融市场; 金融机构
• ISSN: 0253-6102

The recent financial crisis highlights the inherent weaknesses of the financial market. To explore the mechanism that maintains the financial market as a system, we study the interactions of U.S. financial market from the network perspective. Applied with conditional Granger causality network analysis, network density, in-degree and out-degree rankings are important indicators to analyze the conditional causal relationships among financial agents, and further to assess the stability of U.S. financial systems. It is found that the topological structure of G-causality network in U.S. financial market changed in different stages over the last decade, especially during the recent global financial crisis. Network density of the G-causality model is much higher during the period of 2007-2009 crisis stage, and it reaches the peak value in 2008, the most turbulent time in the crisis. Ranked by in-degrees and out-degrees, insurance companies are listed in the top of 68 financial institutions during the crisis. They act as the hubs which are more easily influenced by other financial institutions and simultaneously influence others during the global financial disturbance.