| INTERDISCIPLINARY PHYSICS AND RELATED AREAS OF SCIENCE AND TECHNOLOGY |
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Information flow between stock markets: A Koopman decomposition approach |
| Semba Sherehe1,2, Huiyun Wan(万慧云)1, Changgui Gu(顾长贵)1, and Huijie Yang(杨会杰)1,† |
1 Department of Systems Science, University of Shanghai for Science and Technology, Shanghai 200093, China;
2 Faculty of Science, Dar es Salaam University College of Education, University of Dar es Salaam, Dar es Salaam, Tanzania |
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Abstract Stock markets in the world are linked by complicated and dynamical relationships into a temporal network. Extensive works have provided us with rich findings from the topological properties and their evolutionary trajectories, but the underlying dynamical mechanism is still not in order. In the present work, we proposed a technical scheme to reveal the dynamical law from the temporal network. The index records for the global stock markets form a multivariate time series. One separates the series into segments and calculates the information flows between the markets, resulting in a temporal market network representing the state and its evolution. Then the technique of the Koopman decomposition operator is adopted to find the law stored in the information flows. The results show that the stock market system has a high flexibility, i.e., it jumps easily between different states. The information flows mainly from high to low volatility stock markets. And the dynamical process of information flow is composed of many dynamic modes distribute homogenously in a wide range of periods from one month to several ten years, but there exist only nine modes dominating the macroscopic patterns.
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Received: 14 May 2021
Revised: 10 July 2021
Accepted manuscript online: 22 July 2021
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PACS:
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89.65.Gh
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(Economics; econophysics, financial markets, business and management)
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05.45.Tp
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(Time series analysis)
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89.75.Fb
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(Structures and organization in complex systems)
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02.10.Ox
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(Combinatorics; graph theory)
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| Fund: Project supported by the National Nature Science Foundation of China (Grant Nos. 11875042 and 11505114), the Orientational Scholar Program Sponsored by the Shanghai Education Commission, China (Grant Nos. D-USST02 and QD2015016), and the Shanghai Project for Construction of Top Disciplines, China (Grant No. USST-SYS-01). |
Corresponding Authors:
Huijie Yang
E-mail: hjyang@ustc.edu.cn
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Cite this article:
Semba Sherehe, Huiyun Wan(万慧云), Changgui Gu(顾长贵), and Huijie Yang(杨会杰) Information flow between stock markets: A Koopman decomposition approach 2022 Chin. Phys. B 31 018902
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