| Market participants and regulators pay much efforts to prevent and control financial risk contagion.The accurately understanding and describing financial market risk contagion and shock response are beneficial to market participants and regulators captureing the market information,optimizing the financial asset allocation,setting economic policies and preventing financial crisis.Due to the complexity of interaction between financial market participants,we study the operation rules of financial market and risk contagion from the perspective of system based on complex network theory.In details,firstly,we construct financial market networks based on Person correlation coefficient and Granger causal relationship;secondly,we investigate the financial risk contagion by using SIR model;thirdly,we discuss the shock response of financial market networks based on complex network theory.In the part of theoretical analysis,we analyze the complexity of financial markets and introduce the network description of financial markets.Specifically,we introduces the concept of complex network theory,including the types of complex networks and the basic characteristics.The research methods of financial market networks'complexity are discussed.In order to overcome the shortcoming of the existing construction method of financial market network,we introduce a construction method of directed and weighted financial market networks based on the Granger causality.In addition,the transmission dynamics differential equation of SI,SIS,SIR epidemic models are discussed and the constraints of fixed state system are analyzed.We put forward two kinds of financial risk contagion models and discuss the measurement of shock response of financial market networks based on static robustness method.In the part of empirical study,we investigate the financial market networks,the financial risk contagion and the shock response of Chinese securities market,U.S.stock market and the international foreign exchange market.Firstly,in the terms of constructing financial market networks,the MST and PMFG networks of Shanghai stock exchange and S&P 500 are constructed based on the Person correlation coefficient method.By analyzing the topology properties of the two markets' MST and PMFG networks,we find that financial market networks are topological fractal.In fractal financial market networks,the important core nodes(i.e.,the listed companies)directly connect with each others,which forms a core consist of important nodes.The financial market networks are very vulnerable to intentional attack because of the structure.The U.S.subprime crisis has a marked impact on the structure of the two financial market networks.As the U.S.subprime crisis breaks,the central nodes of financial market are changed.In Shanghai stock exchange network,energy related industries listed companies are replaced by manufacturing industry.The center role of real estate company of U.S.stock market networks turns into high-tech company in S&P 500 network.Based on Granger causality test,we build global foreign exchange market networks and investigate the structure feature of directed and weighted financial market networks.During financial crisis,the significant Granger causality between various countries of the global foreign exchange market is more abundant,the interactions are more strongly,the geographic areas of the global foreign exchange market aggregation are significantly enhanced.The out-degree of currencies obeys power law distribution,namely a few currencies are the major source of exchange fluctuations.The in-degree distribution of currencies is linear,which means the currencies in the global foreign exchange market are influenced by others on the same scale.Moreover,it is found that the fluctuation of U.S.dollar and pound has a great influence on other currencies,which may be the instable source of the global foreign exchange market.Secondly,in the aspect of measuring financial risk contagion,we propose a method based on financial market networks and SIR epidemic model.We find that the importance of nodes,the scale of infected nodes,the network constraints,financial crisis and other factors play an important role in the process of financial risk contagion.A few financial institution plays a key role in financial risk contagion.As the number of infected institution increases,the probability that contagion fragments networks rises rapidly,which means that the scale of risk contagion is sensitive to the number of initial infected institution.The risk contagion probability of global foreign exchange market increases rapidly when financial crisis outbreaks.Moreover,the high-risk of contagion will continue in a long term after the financial crisis.Finally,in terms of the shock response of financial markets,we propose a financial market risk warning measurement based on three types of intentional attacks,including random failures,intentional attacks and financial risk contagion.Through the empirical study,the impact of financial risk on the Person correlation relation based network is related to the origin of financial risk contagion.When the most important stocks are selected as crisis origin,there are 18-40%stocks of the whole networks is infected.In the situations that the stocks with lowest degree are selected as crisis origin and the crisis origins are selected randomly,the probability that the financial networks are damaged by financial risk contagion is less than 1%.Moreover,We propose a method for measuring the shock response of financial markets based on complex Granger causality.Through the empirical study,we find that The global foreign exchange market has a strong ability to resist random failure.In contrast,the global foreign exchange market is more vulnerable to intentional attacks and the networks surf greater damage than the random failure.The U.S.subprime crisis and the European debt crisis undermine the stability of the global foreign exchange market,and the global foreign exchange market is more sensitive to financial risk contagion. |
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