Thermodynamic Entropy in Quantum Statistics for Stock Market Networks
The stock market is a dynamical system composed of intricate relationships between financial entities, such as banks, corporations, and institutions. Such a complex interactive system can be represented by the network structure. The underlying mechanism of stock exchange establishes a time-evolving...
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2019/1817248 |
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| author | Jianjia Wang Chenyue Lin Yilei Wang |
| author_facet | Jianjia Wang Chenyue Lin Yilei Wang |
| author_sort | Jianjia Wang |
| collection | DOAJ |
| description | The stock market is a dynamical system composed of intricate relationships between financial entities, such as banks, corporations, and institutions. Such a complex interactive system can be represented by the network structure. The underlying mechanism of stock exchange establishes a time-evolving network among companies and individuals, which characterise the correlations of stock prices in the time sequential trades. Here, we develop a novel technique in quantum statistics to analyse the financial market evolution. We commence from heat bath analogy where the normalised Laplacian matrix plays the role of the Hamiltonian operator of the network. The eigenvalues of the Hamiltonian specify energy states of the network. These states are occupied by either indistinguishable bosons or fermions with corresponding Bose-Einstein and Fermi-Dirac statistics. Using the relevant partition functions, we develop the thermodynamic entropy to explore dynamic network characterisations. We conduct the experiments to apply this novel method to identify the significant variance in network structure during the financial crisis. The thermodynamic entropy provides an excellent framework to represent the variations taking place in the stock market. |
| format | Article |
| id | doaj-art-c319ba0a63e942ad8f95a8e40fe6be89 |
| institution | DOAJ |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-c319ba0a63e942ad8f95a8e40fe6be892025-08-20T03:23:15ZengWileyComplexity1076-27871099-05262019-01-01201910.1155/2019/18172481817248Thermodynamic Entropy in Quantum Statistics for Stock Market NetworksJianjia Wang0Chenyue Lin1Yilei Wang2Department of Computer Science, Shanghai University, 200444, ChinaDepartment of Mathematics and Statistics, Queen’s University, K7L 3N6, CanadaState Grid Nanjing Power Supply Company, State Grid Corporation of China, Nanjing 210019, ChinaThe stock market is a dynamical system composed of intricate relationships between financial entities, such as banks, corporations, and institutions. Such a complex interactive system can be represented by the network structure. The underlying mechanism of stock exchange establishes a time-evolving network among companies and individuals, which characterise the correlations of stock prices in the time sequential trades. Here, we develop a novel technique in quantum statistics to analyse the financial market evolution. We commence from heat bath analogy where the normalised Laplacian matrix plays the role of the Hamiltonian operator of the network. The eigenvalues of the Hamiltonian specify energy states of the network. These states are occupied by either indistinguishable bosons or fermions with corresponding Bose-Einstein and Fermi-Dirac statistics. Using the relevant partition functions, we develop the thermodynamic entropy to explore dynamic network characterisations. We conduct the experiments to apply this novel method to identify the significant variance in network structure during the financial crisis. The thermodynamic entropy provides an excellent framework to represent the variations taking place in the stock market.http://dx.doi.org/10.1155/2019/1817248 |
| spellingShingle | Jianjia Wang Chenyue Lin Yilei Wang Thermodynamic Entropy in Quantum Statistics for Stock Market Networks Complexity |
| title | Thermodynamic Entropy in Quantum Statistics for Stock Market Networks |
| title_full | Thermodynamic Entropy in Quantum Statistics for Stock Market Networks |
| title_fullStr | Thermodynamic Entropy in Quantum Statistics for Stock Market Networks |
| title_full_unstemmed | Thermodynamic Entropy in Quantum Statistics for Stock Market Networks |
| title_short | Thermodynamic Entropy in Quantum Statistics for Stock Market Networks |
| title_sort | thermodynamic entropy in quantum statistics for stock market networks |
| url | http://dx.doi.org/10.1155/2019/1817248 |
| work_keys_str_mv | AT jianjiawang thermodynamicentropyinquantumstatisticsforstockmarketnetworks AT chenyuelin thermodynamicentropyinquantumstatisticsforstockmarketnetworks AT yileiwang thermodynamicentropyinquantumstatisticsforstockmarketnetworks |