Next Article in Journal
Evaluating Flight Crew Performance by a Bayesian Network Model
Previous Article in Journal
Categorical Data Analysis Using a Skewed Weibull Regression Model
Article Menu
Issue 3 (March) cover image

Export Article

Open AccessArticle

Relationship between Entropy and Dimension of Financial Correlation-Based Network

Department of Finance, School of Business, East China University of Science and Technology, Shanghai 200237, China
*
Author to whom correspondence should be addressed.
Entropy 2018, 20(3), 177; https://doi.org/10.3390/e20030177
Received: 18 January 2018 / Revised: 25 February 2018 / Accepted: 6 March 2018 / Published: 7 March 2018
  |  
PDF [654 KB, uploaded 7 March 2018]
  |  

Abstract

We analyze the dimension of a financial correlation-based network and apply our analysis to characterize the complexity of the network. First, we generalize the volume-based dimension and find that it is well defined by the correlation-based network. Second, we establish the relationship between the Rényi index and the volume-based dimension. Third, we analyze the meaning of the dimensions sequence, which characterizes the level of departure from the comparison benchmark based on the randomized time series. Finally, we use real stock market data from three countries for empirical analysis. In some cases, our proposed analysis method can more accurately capture the structural differences of networks than the power law index commonly used in previous studies. View Full-Text
Keywords: fractal dimension; Rényi index; minimum spanning tree (MST); planar maximally filtered graph (PMFG); finance fractal dimension; Rényi index; minimum spanning tree (MST); planar maximally filtered graph (PMFG); finance
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Nie, C.-X.; Song, F.-T. Relationship between Entropy and Dimension of Financial Correlation-Based Network. Entropy 2018, 20, 177.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Entropy EISSN 1099-4300 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top