标题： 股票市场的直接因果关系网络 显示英文标题

标题： Immediate Causality Network of Stock Markets

摘要： 一个金融系统包含许多通过其关系相互连接的要素。 大量研究表明，网络的拓扑结构存储了系统进化行为的丰富信息，例如崩溃和/或危机的早期预警信号。 现有研究主要集中在单一股票市场的网络结构上，而崩溃/危机通常在覆盖多个甚至所有市场的宏观尺度上发生。 这种尺度上的不匹配会导致拓扑结构出现不可接受的噪声，并且缺乏不同市场之间关系中存储的信息。 在本工作中，我们通过使用转移熵重建了全球分布的十个典型股票市场之间的影响力网络。 有趣的发现包括，在金融危机之前，连接强度达到最大值，这可以作为金融危机的早期预警信号；美洲的市场单向且强烈地受到欧洲市场的影响，并充当中心；一些高度关联的市场对也具有密切的相关性。 这些发现有助于理解全球金融系统的演变并建模其动态过程。 显示英文摘要

摘要： A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of collapses and/or crises. Existing works focus mainly on the network structure within a single stock market, while a collapse/crisis occurs in a macro-scale covering several or even all markets in the world. This mismatch of scale leads to unacceptable noise to the topological structure, and lack of information stored in relationships between different markets. In this work by using the transfer entropy we reconstruct the influential network between ten typical stock markets distributed in the world. Interesting findings include, before a financial crisis the connection strength reaches a maxima, which can act as an early warning signal of financial crises; The markets in America are mono-directionally and strongly influenced by that in Europe and act as the center; Some strongly linked pairs have also close correlations. The findings are helpful in understanding the evolution and modelling the dynamical process of the global financial system.