Price Fluctuation In The Mining Listed Companies Based On Fluctuation And Co-fluctuation Matrix Transmission Networks

The supply of mineral products is larger than the demand in China in recent years,and the total consumption has declined gradually.Crude oil,coal,iron ore and other mineral prices continued to fall and constant fluctuation,the market value of mining listed companies has shrunk dramatically.The fluctuation of stock prices has a great influence on the stable and healthy development of China’s stock market.Therefore,it is very important to study the price fluctuation in the mining listed companies based on fluctuation and co-fluctuation matrix transmission networks.However,it is based on the results of the standard deviation,covariance and correlation coefficients when evaluating the stock return volatilities.How to characterize the stock price volatility and its transmission in short time,so then dig the change regulation and conduction characteristic of the price fluctuation,which has become the current problem that investors and market regulators concern to solve.This paper is based on the historical data of short time,we studied the change regulations of stock price volatility and correlation fluctuation and its transmission characteristics,provide the basis for the formulation of regulatory strategy for investors and market regulators portfolio.Top 6 mining listed companies of the China Commission(CSRC)were selected to study in this paper(PetroChina,Sinopec,China Shenhua,China coal energy and petrochemical oil service,Zijin Mining).We calculated the daily returns of each stock to reflect the price fluctuation using the daily closing price of each stock from April 25,2008 to December 25,2015.The fluctuation and co-fluctuation is transformed into symbolic sequences consisted of three characters ?P,O,N? and ?S,D,O? through the process of coarse graining.The daily fluctuation and co-fluctuation patterns,roles and relationships were studied based on the fluctuation transmission network(FTN)and co-fluctuation matrix transmission network(CMTN).For the FTN,the fluctuation pattern was taken as a node and the pattern adjacent relations as edges to construct the network.For the CMTN,the co-fluctuation matrices were taken as a node and the co-fluctuation matrices adjacent relations as edges to construct the network.We found that each mining stock has a different price fluctuation feature,and any two of them have obvious positive correlations,the scope and trait of business are important factors that affect the price fluctuation;the two networks both have a highly concentration,the stock price fluctuations are mainly concentrated in a few modes and mutual conduction between these modes,according to this regular,investors can predict the possible price change trend of the next trading day;the main node of the network there is a strong and recurring self-transmission phenomena,investors can predict the possibility of potential changes in the mode of stock price fluctuation based on the self-transmission coefficient.According to analyze the fluctuation transmission network and co-fluctuation matrix transmission network of mining stock price,we find the daily fluctuation and co-fluctuation patterns,roles and conduction relationships.It helps investors choose the right portfolio to minimize investment risk,and market regulators make a better supervisory policy against the high volatility and systemic risk.