entropy-logo

Journal Browser

Journal Browser

Complex Network Analysis in Econometrics

A special issue of Entropy (ISSN 1099-4300). This special issue belongs to the section "Multidisciplinary Applications".

Deadline for manuscript submissions: closed (31 October 2022) | Viewed by 35227

Special Issue Editors


E-Mail Website
Guest Editor
School of Economics and Management, China University of Geosciences, Beijing 100083, China
Interests: economic complexity system; complex networks; time series; econometrics; economic net-works
School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China
Interests: complex network; complex systems; social networks; cascading failure; high-dimensional system

E-Mail Website
Co-Guest Editor
School of Economics, Hebei University, Baoding 071002, China
Interests: complex network; econophysics; econometrics; economic network; energy economics

Special Issue Information

Dear Colleagues,

With the in-depth study of information theory, econometric theory and data science, we have deepened our understanding of the causes and consequences of complex relationships, self-organizing behaviors, and systemic phenomena. Furthermore, to study the deeper formation mechanism of the real-world system, it is necessary to establish a more accurate model.

Real-world systems are usually complex; it is difficult to simulate the evolution process through modeling accurately, and it is difficult to observe individual behavior trajectories. Although scholars have gradually realized that real-world systems continue to self-organize and emerge nonlinear spontaneous orders, at the same time, there are self-similar characteristics between individuals, local structures, and overall structures, and they continue to deform, develop or decline with the self-adaptive behavior of individuals. In the real-world system, complex network methods can effectively study the self-organization and interaction mechanisms between individuals. Although complex networks have experienced vigorous development for decades, there is still a big gap between the evolutionary results of complex network models and real-world systems. It is challenging to describe the individual interaction mechanisms in the real-world system.

Econometric models are widely used to quantify interaction mechanisms among variables. However, in the era of big data, new data forms and complex relationships in the real-world system evoke unprecedented challenges to econometrics. In this research context, some interdisciplinary approaches have emerged, such as complex network analysis methods. We can build realistic models from real-world data. Researchers have begun to combine complex network, econometric methods and information entropy theory to reveal the interactions among variables of network data, such as econometric relations, transmission relations, and causal relations. The combination of complex network, econometrics methods and information entropy theory provide a new perspective for studying real-world systems with many nodes and complicated interactions.

Therefore, this Special Issue will accept unpublished original papers and comprehensive reviews focused on, but not restricted to, the following research areas:

  • Network perception and reconstruction based on econometrics methods and information entropy theory;
  • Integration of complex networks, econometrics and information entropy theory;
  • Causal inference based on econometrics methods and information entropy theory;
  • Economic and financial risk transmission network modeling and analysis;
  • Cascade and catastrophe in economic and financial networks;
  • Robustness in economic and financial networks;
  • Predictive econometrics network modeling;
  • Time series econometric network modeling and dynamic analysis;
  • Nonlinear dynamics in econometrics networks;
  • High-dimensional econometrics network modeling;
  • Heterogeneity econometrics network modeling.

Prof. Dr. Xiangyun Gao
Dr. Feng An
Dr. Qingru Sun
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Entropy is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2600 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • complex network
  • econometrics
  • information entropy theory
  • nonlinear time series
  • causality inference
  • economic system
  • financial market

Published Papers (22 papers)

Order results
Result details
Select all
Export citation of selected articles as:

Research

12 pages, 1732 KiB  
Article
Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective
by Thierry Warin and Aleksandar Stojkov
Entropy 2023, 25(4), 630; https://doi.org/10.3390/e25040630 - 07 Apr 2023
Viewed by 1209
Abstract
This study uses structural entropy as a valuable method for studying complex networks in a macro-finance context, such as the European government bond market. We make two contributions to the empirical literature on sovereign bond markets and entropy in complex networks. Firstly, our [...] Read more.
This study uses structural entropy as a valuable method for studying complex networks in a macro-finance context, such as the European government bond market. We make two contributions to the empirical literature on sovereign bond markets and entropy in complex networks. Firstly, our article contributes to the empirical literature on the disciplinary function of credit markets from an entropy perspective. In particular, we study bond yield differentials at an average daily frequency among EU countries’ 10-year Eurobonds issued between 1 January 1997, and 4 October 2022. Secondly, the article brings a methodological novelty by incorporating an entropy perspective to the study of government bond yield differentials and European capital market integration. Entropy-based methods hold strong potential to bring new sources of dynamism and valuable contributions to the areas of macroeconomics and finance. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

23 pages, 3707 KiB  
Article
Dynamic Banking Systemic Risk Accumulation under Multiple-Risk Exposures
by Hong Fan and Miao Tang
Entropy 2022, 24(12), 1848; https://doi.org/10.3390/e24121848 - 19 Dec 2022
Cited by 1 | Viewed by 1835
Abstract
Much of the existing research on banking systemic risk focuses on static single-risk exposures, and there is a lack of research on multiple-risk exposures. The reality is that the banking system is facing an increasingly complex environment, and dynamic measures of multiple-risk integration [...] Read more.
Much of the existing research on banking systemic risk focuses on static single-risk exposures, and there is a lack of research on multiple-risk exposures. The reality is that the banking system is facing an increasingly complex environment, and dynamic measures of multiple-risk integration are essential. To reveal the risk accumulation process under the multi-risk exposures of the banking system, this article constructs a dynamic banking system as the research object and combines geometric Brownian motion, the BSM model, and the maximum likelihood estimate method. This article also aims to incorporate three types of exposures (interbank lending market risk exposures, entity industry credit risk exposures, and market risk exposures) within the same framework for the first time and builds a model of the dynamic evolution of banking systemic risk under multiple exposures. This study included the collection of a large amount of real data on banks, entity industries, and market risk factors, and used the ΔCoVaR model to evaluate the systemic risk of the China banking system from the point of view of the accumulation of risk from different exposures, revealing the dynamic process of risk accumulation under the integration of multiple risks within the banking system, as well as the contribution of different exposures to banking systemic risk. The results showed that the banking systemic risk of China first increased and then decreased with time, and the rate of risk accumulation is gradually slowing down. In terms of the impact of different kinds of exposures on system losses, the credit risk exposure of the entity industry had the greatest impact on the banking systemic risk among the three kinds of exposures. In terms of the contribution of the interbank lending market risk to the systemic risk, the Bank of Communications, China Everbright Bank, and Bank of Beijing contributed the most. In terms of the contribution of the bank–entity industry credit risk to the systemic risk, the financial industry, accommodation and catering industry, and manufacturing industry contributed the most. Considering the contribution of market risk to the systemic risk, the Shanghai Composite Index, the Hang Seng Composite Index, and the Dow Jones Index contributed the most. The research in this paper enriches the existing banking systemic risk research perspective and provides a reference for the regulatory decisions of central banks. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

22 pages, 2531 KiB  
Article
Multi-Scale Characteristics of Investor Sentiment Transmission Based on Wavelet, Transfer Entropy and Network Analysis
by Muye Han and Jinsheng Zhou
Entropy 2022, 24(12), 1786; https://doi.org/10.3390/e24121786 - 06 Dec 2022
Cited by 1 | Viewed by 1405
Abstract
Investor sentiment transmission is significantly influential over financial markets. Prior studies do not reach a consensus about the multi-scale transmission patterns of investor sentiment. Our study proposed a composite set of methods based on wavelet, transfer entropy, and network analysis to explore the [...] Read more.
Investor sentiment transmission is significantly influential over financial markets. Prior studies do not reach a consensus about the multi-scale transmission patterns of investor sentiment. Our study proposed a composite set of methods based on wavelet, transfer entropy, and network analysis to explore the transmission patterns of investor sentiment among firms. By taking 137 new energy vehicle-related listed firms as an example, the results show three key findings: (1) the transmission of investor sentiment presents more active in the short term and takes place in a local range; (2) the transmission of investor sentiment presents patterns of continuity and growth from short term to long term; and (3) the transmission patterns of investor sentiment will have specific evolutions from short term to long term. Suggestions are offered to investors, managers and policymakers to better monitor the financial market using investor sentiment transmission. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

20 pages, 3578 KiB  
Article
Evaluating the Structural Robustness of Large-Scale Emerging Industry with Blurring Boundaries
by Yang Li, Huajiao Li, Sui Guo and Yanxin Liu
Entropy 2022, 24(12), 1773; https://doi.org/10.3390/e24121773 - 05 Dec 2022
Cited by 1 | Viewed by 1369
Abstract
The present large-scale emerging industry evolves into a form of an open system with blurring boundaries. However, when complex structures with numerous nodes and connections encounter an open system with blurring boundaries, it becomes much more challenging to effectively depict the structure of [...] Read more.
The present large-scale emerging industry evolves into a form of an open system with blurring boundaries. However, when complex structures with numerous nodes and connections encounter an open system with blurring boundaries, it becomes much more challenging to effectively depict the structure of an emerging industry, which is the precondition for robustness evaluation. Therefore, this study proposes a novel framework based on a data-driven percolation process and complex network theory to depict the network skeleton and thus evaluate the structural robustness of large-scale emerging industries. The empirical data we used are actual firm-level transaction data in the Chinese new energy vehicle industry in 2019, 2020, and 2021. We applied our method to explore the transformation of structural robustness in the Chinese new energy vehicle industry in pre-COVID (2019), under-COVID (2020), and post-COVID (2021) eras. We unveil that the Chinese new energy vehicle industry became more robust against random attacks in the post-COVID era than in pre-COVID. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

21 pages, 6701 KiB  
Article
Optimization and Benefit Analysis of Grain Trade in Belt and Road Countries
by Ruijin Du, Yang Chen, Gaogao Dong, Lixin Tian, Jing Zhang and Nidan Zhang
Entropy 2022, 24(11), 1667; https://doi.org/10.3390/e24111667 - 15 Nov 2022
Cited by 2 | Viewed by 1528
Abstract
Grain trade in Belt and Road (B&R) countries shows a mismatch between the volume and direction of grain flows and actual demand. With economic and industrial development, the water crisis has intensified, which poses a great challenge to the security of world grain [...] Read more.
Grain trade in Belt and Road (B&R) countries shows a mismatch between the volume and direction of grain flows and actual demand. With economic and industrial development, the water crisis has intensified, which poses a great challenge to the security of world grain supply and demand. There are few studies on the reconstruction of grain trade relations from the perspective of grain economic value. In this paper, a linear optimization model considering opportunity cost is proposed to fill the gap, and it is compared and analyzed with the optimization model considering only transportation cost. The grain supply and demand structures in both optimization results show characteristics of geographical proximity and long-tail distribution. Furthermore, the economic and water resource benefits resulting from the two optimal configurations are compared and analyzed. It is found that the economic benefits generated by grain trade in B&R countries with the consideration of opportunity cost not only cover transportation costs but also generate an economic value of about 130 trillion US dollars. Therefore, considering opportunity cost in grain trade is of great significance for strengthening cooperation and promoting the economic development of countries under the B&R framework. In terms of resource benefits, the grain trade with consideration of opportunity cost saves nearly 28 billion cubic meters of water, or about 5% of the total virtual water flow. However, about 72 billion cubic meters of water is lost for the grain trade with consideration of transportation cost. This study will help to formulate and adjust policies related to the “Belt and Road Initiative” (B&R Initiative), so as to maximize the economic benefits while optimizing the structure of grain trade and alleviating water scarcity pressures. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

27 pages, 1044 KiB  
Article
Spatial Spillovers of Financial Risk and Their Dynamic Evolution: Evidence from Listed Financial Institutions in China
by Shaowei Chen, Long Guo and Qiang (Patrick) Qiang
Entropy 2022, 24(11), 1549; https://doi.org/10.3390/e24111549 - 28 Oct 2022
Cited by 1 | Viewed by 1263
Abstract
This paper investigates the multidimensional spatial effects of risk spillovers among Chinese financial institutions and the dynamic evolution of financial risk contagion in the tail risk correlation network over different time periods. We first measure risk spillovers from financial submarkets to the stock [...] Read more.
This paper investigates the multidimensional spatial effects of risk spillovers among Chinese financial institutions and the dynamic evolution of financial risk contagion in the tail risk correlation network over different time periods. We first measure risk spillovers from financial submarkets to the stock market, identifying five periods using structural breakpoint tests. Then, we construct a spatial error financial network panel model by combining complex network and spatial econometric theory to explore the spatial spillover variability. Finally, we calculate the Bonacich centrality of nodes in the tail risk network and analyze the dynamic evolution of the financial impact path during the different time periods. The results show that the multidimensional spatial spillovers of financial risk among financial institutions are obvious and time varying. The spatial spillovers of financial institutions are positively correlated with the turnover rate and negatively correlated with the exchange rate, interest rate and return volatility. Financial institutions of the same type in the tail risk network display intraindustry risk clustering, and the systemically important institutions identified based on Bonacich centrality differ significantly across time. Moreover, when risk spillovers increase, external shocks’ destructive power and speed of transmission to the network rise. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

16 pages, 2136 KiB  
Article
Unveiling Latent Structure of Venture Capital Syndication Networks
by Weiwei Gu, Ao Yang, Lingyun Lu and Ruiqi Li
Entropy 2022, 24(10), 1506; https://doi.org/10.3390/e24101506 - 21 Oct 2022
Cited by 2 | Viewed by 1809
Abstract
Venture capital (VC) is a form of private equity financing provided by VC institutions to startups with high growth potential due to innovative technology or novel business models but also high risks. To against uncertainties and benefit from mutual complementarity and sharing resources [...] Read more.
Venture capital (VC) is a form of private equity financing provided by VC institutions to startups with high growth potential due to innovative technology or novel business models but also high risks. To against uncertainties and benefit from mutual complementarity and sharing resources and information, making joint-investments with other VC institutions on the same startup are pervasive, which forms an ever-growing complex syndication network. Attaining objective classifications of VC institutions and revealing the latent structure of joint-investment behaviors between them can deepen our understanding of the VC industry and boost the healthy development of the market and economy. In this work, we devise an iterative Loubar method based on the Lorenz curve to make objective classification of VC institutions automatically, which does not require setting arbitrary thresholds and the number of categories. We further reveal distinct investment behaviors across categories, where the top-ranked group enters more industries and investment stages with a better performance. Through network embedding of joint investment relations, we unveil the existence of possible territories of top-ranked VC institutions, and the hidden structure of relations between VC institutions. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

15 pages, 2745 KiB  
Article
Simplicial Persistence of Financial Markets: Filtering, Generative Processes and Structural Risk
by Jeremy Turiel, Paolo Barucca and Tomaso Aste
Entropy 2022, 24(10), 1482; https://doi.org/10.3390/e24101482 - 18 Oct 2022
Viewed by 1470
Abstract
We introduce simplicial persistence, a measure of time evolution of motifs in networks obtained from correlation filtering. We observe long memory in the evolution of structures, with a two power law decay regimes in the number of persistent simplicial complexes. Null models of [...] Read more.
We introduce simplicial persistence, a measure of time evolution of motifs in networks obtained from correlation filtering. We observe long memory in the evolution of structures, with a two power law decay regimes in the number of persistent simplicial complexes. Null models of the underlying time series are tested to investigate properties of the generative process and its evolutional constraints. Networks are generated with both a topological embedding network filtering technique called TMFG and by thresholding, showing that the TMFG method identifies high order structures throughout the market sample, where thresholding methods fail. The decay exponents of these long memory processes are used to characterise financial markets based on their efficiency and liquidity. We find that more liquid markets tend to have a slower persistence decay. This appears to be in contrast with the common understanding that efficient markets are more random. We argue that they are indeed less predictable for what concerns the dynamics of each single variable but they are more predictable for what concerns the collective evolution of the variables. This could imply higher fragility to systemic shocks. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

21 pages, 2541 KiB  
Article
Research on China’s Risk of Housing Price Contagion Based on Multilayer Networks
by Lu Qiu, Rongpei Su and Zhouwei Wang
Entropy 2022, 24(9), 1305; https://doi.org/10.3390/e24091305 - 15 Sep 2022
Viewed by 1214
Abstract
The major issue in the evolution of housing prices is risk of housing price contagion. To model this issue, we constructed housing multilayer networks using transfer entropy, generalized variance decomposition, directed minimum spanning trees, and directed planar maximally filtered graph methods, as well [...] Read more.
The major issue in the evolution of housing prices is risk of housing price contagion. To model this issue, we constructed housing multilayer networks using transfer entropy, generalized variance decomposition, directed minimum spanning trees, and directed planar maximally filtered graph methods, as well as China’s comprehensive indices of housing price and urban real housing prices from 2012 to 2021. The results of our housing multilayer networks show that the topological indices (degree, PageRank, eigenvector, etc.) of new first-tier cities (Tianjin, Qingdao, and Shenyang) rank higher than those of conventional first-tier cities (Beijing, Shanghai, Guangzhou, and Shenzheng). Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

26 pages, 3451 KiB  
Article
Systemic Risk Analysis of Multi-Layer Financial Network System Based on Multiple Interconnections between Banks, Firms, and Assets
by Qianqian Gao
Entropy 2022, 24(9), 1252; https://doi.org/10.3390/e24091252 - 06 Sep 2022
Cited by 4 | Viewed by 1866
Abstract
Global financial systems are increasingly interconnected, and risks can spread more easily, potentially causing systemic risks. Research on systemic risk based on multi-layer financial networks is relatively scarce, and studies usually focus on only one type of risk. This paper develops a model [...] Read more.
Global financial systems are increasingly interconnected, and risks can spread more easily, potentially causing systemic risks. Research on systemic risk based on multi-layer financial networks is relatively scarce, and studies usually focus on only one type of risk. This paper develops a model of the multi-layer financial network system based on three types of links: firm-bank credit, asset-bank portfolio, and interbank lending, which simulates systemic risk under three risk sources: firm credit default, asset depreciation, and bank bankruptcy. The impact of the multi-layer financial network structure, default risk threshold, and bank asset allocation strategy is further explored. It has been shown that the larger the risk shock, the greater the systemic risk under different risk sources, and the risk propagation cycle tends to rise and then decline. As centralized nodes in the multi-layer financial network system, bank nodes may play both blocking and propagation roles under different risk sources. Furthermore, the multi-layer financial network system is most susceptible to bank bankruptcy risk, followed by firm credit default risk. Further research indicates that increasing the average degree of firms in the bank–firm credit network, the density of the bank-asset portfolio network, and the bank capital adequacy ratio all contribute to reducing systemic risk under the three risk sources. Additionally, the more assets a bank holds in a single market, the more vulnerable it is to the risks associated with that market. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

19 pages, 8747 KiB  
Article
Dynamic Multiscale Information Spillover among Crude Oil Time Series
by Sufang An
Entropy 2022, 24(9), 1248; https://doi.org/10.3390/e24091248 - 05 Sep 2022
Cited by 2 | Viewed by 1258
Abstract
This study investigated information spillovers across crude oil time series at different time scales, using a network combined with a wavelet transform. It can detect the oil price, which plays an important role in the dynamic process of spillovers, and it can also [...] Read more.
This study investigated information spillovers across crude oil time series at different time scales, using a network combined with a wavelet transform. It can detect the oil price, which plays an important role in the dynamic process of spillovers, and it can also analyze the dynamic feature of systematic risk based on entropy at different scales. The results indicate that the network structure changes with time, and the important roles of an oil price can be identified. WTI and Brent act as important spillover transmitters, and other prices are important spillover receivers at a scale. With the increase in time scale, both the number of neighbors and the importance of spillovers of Brent and WTI as spillover transmitters show downward trends. The importance for spillovers of China–Shengli and Dubai as spillover receivers shows a downward trend. This paper provides new evidence for explaining WTI and Brent as global benchmark oil prices. In addition, systematic risk is time-varying, and it is smaller at short-term scale than at long-term scale. The trend of systematic risk is also discussed when typical oil-related events occur. This paper provides a new perspective for exploring dynamic spillovers and systematic risk that offers important implications for policymakers and market investors. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

18 pages, 1982 KiB  
Article
The Impact of Information Flow by Co-Shareholder Relationships on the Stock Returns: A Network Feature Perspective
by Pengli An and Sui Guo
Entropy 2022, 24(9), 1237; https://doi.org/10.3390/e24091237 - 02 Sep 2022
Viewed by 1307
Abstract
One shareholder may invest in different listed energy companies, so the information held by common shareholders can be transmitted among companies. Based on the two-mode complex network method, we construct an information flow shareholder-based network and employ different network indicators representing features of [...] Read more.
One shareholder may invest in different listed energy companies, so the information held by common shareholders can be transmitted among companies. Based on the two-mode complex network method, we construct an information flow shareholder-based network and employ different network indicators representing features of information flow as variables to construct panel regression models to analyze the impact of information flow among listed energy companies on the stock returns. The results indicate that the information flow of listed energy companies are increasingly important and play a significant role over a period. The efficiency of information flow among listed energy companies is increasingly high and the network information is concentrated among a few of these companies. The efficiency of information flow and the independence of listed energy companies are significantly positively related to stock returns, while the listed energy companies’ ability to control information is not significantly related to stock returns. We employ a new perspective to analyze the information flow on how to influence stock returns, and offer some related suggestions for investors and policy makers in the future. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

22 pages, 3528 KiB  
Article
Risk Transmission of Trade Price Fluctuations from a Nickel Chain Perspective: Based on Systematic Risk Entropy and Granger Causality Networks
by Xuanru Zhou, Shuxian Zheng, Hua Zhang, Qunyi Liu, Wanli Xing, Xiaotong Li, Yawen Han and Pei Zhao
Entropy 2022, 24(9), 1221; https://doi.org/10.3390/e24091221 - 31 Aug 2022
Cited by 3 | Viewed by 1741
Abstract
Nickel is a strategic mineral resource, with 65% of nickel being used in stainless steel. The situation in Ukraine starting in February 2022 has led to significant fluctuations in nickel prices, with prices of nickel products along the same chain affecting and passing [...] Read more.
Nickel is a strategic mineral resource, with 65% of nickel being used in stainless steel. The situation in Ukraine starting in February 2022 has led to significant fluctuations in nickel prices, with prices of nickel products along the same chain affecting and passing through each other. Using systematic risk entropy and granger causality networks, we measure the volatility risk of trade prices of nickel products using the nickel industry chain trade data from 2000–2019 and explore the transmission patterns of different volatility risk prices from the industry chain perspective. The findings show that: (1) Nickel ore has the highest risk of import trade price volatility and a strong influence, but low risk transmission. Stainless steel has the highest trade price impact but is also subject to the strongest passive influence. (2) The Americas have a higher risk of trade price volatility but a weaker influence. The influence and sensitivity of trade prices is stronger in Asia and Europe. (3) Indonesia’s stainless steel export prices have a high rate of transmission and strong influence. Germany’s ferronickel export prices are highly susceptible to external influences and can continue to spread loudly. Russian nickel ore export prices are able to quickly spread their impact to other regions. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

17 pages, 9346 KiB  
Article
Research on Risk Contagion among Financial Submarkets in China Based on Complex Networks
by Yuhua Xu, Yue Zhao, Mengna Liu and Chengrong Xie
Entropy 2022, 24(8), 1120; https://doi.org/10.3390/e24081120 - 14 Aug 2022
Cited by 1 | Viewed by 1458
Abstract
As the COVID-19 outbreak has an impact on the global economy, there will be interest in how China’s financial markets function during the outbreak. To investigate the path of risk contagion in China’s financial sub-markets before and after the COVID-19 outbreak, we divided [...] Read more.
As the COVID-19 outbreak has an impact on the global economy, there will be interest in how China’s financial markets function during the outbreak. To investigate the path of risk contagion in China’s financial sub-markets before and after the COVID-19 outbreak, we divided the 2016–2021 period into two phases. Based on the time of the COVID-19 outbreak, we divided the new stage of economic development into pre-epidemic and post-epidemic stages and employed the DCC-GARCH model to investigate the dynamic correlation coefficients among the financial sub-markets in China. Furthermore, we employed complex network theory and the minimum tree model to describe the risk contagion path between two-stage Chinese financial submarkets. Finally, we provided pertinent recommendations for investors and policymakers and conducted a brief discussion based on the findings of the research. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

17 pages, 2334 KiB  
Article
Spillover Network Features from the Industry Chain View in Multi-Time Scales
by Sida Feng, Qingru Sun, Xueyong Liu and Tianran Xu
Entropy 2022, 24(8), 1108; https://doi.org/10.3390/e24081108 - 12 Aug 2022
Cited by 1 | Viewed by 1336
Abstract
Financial stocks in the industry chain interact notably because of close economic and technical relationships. Some participants pay particular attention to one industry chain and are concerned with different investment horizons. The motivation for this study is to offer more targeted information to [...] Read more.
Financial stocks in the industry chain interact notably because of close economic and technical relationships. Some participants pay particular attention to one industry chain and are concerned with different investment horizons. The motivation for this study is to offer more targeted information to various market participants who focus on different time scales in one industry chain from a systematic perspective by combining the GARCH-BEKK, heterogeneous network, and wavelet analysis methods. The findings are as follows: (1) For parties who prefer to take more risks to gain higher returns, scale 2 (4–8 days) is a good option, while long-term investment (32–128 days) is suitable for conservative investors. (2) In most cases, some links in the industry chain are particularly sensitive to changes in stocks in other links. (3) The influence, sensitivity, and intermediary of stocks in the industry chain on different time scales were explored, and participants could use the resulting information to monitor the market or select stocks. (4) The structures, key players, and industry chain attributes of the main transmission paths differ on multi-time scales. Risk transmission can be controlled by intercepting important spillover relations within the paths. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

17 pages, 878 KiB  
Article
Financial Network Analysis on the Performance of Companies Using Integrated Entropy–DEMATEL–TOPSIS Model
by Kah Fai Liew, Weng Siew Lam and Weng Hoe Lam
Entropy 2022, 24(8), 1056; https://doi.org/10.3390/e24081056 - 31 Jul 2022
Cited by 4 | Viewed by 1948
Abstract
In this paper, we propose a multi-criteria decision making (MCDM) model by integrating the entropy–DEMATEL with TOPSIS model to analyze the causal relationship of financial ratios towards the financial performance of the companies. The proposed model is illustrated using the financial data of [...] Read more.
In this paper, we propose a multi-criteria decision making (MCDM) model by integrating the entropy–DEMATEL with TOPSIS model to analyze the causal relationship of financial ratios towards the financial performance of the companies. The proposed model is illustrated using the financial data of the companies of Dow Jones Industrial Average (DJIA). The financial network analysis using entropy–DEMATEL shows that the financial ratios such as debt to equity ratio (DER) and return on equity (ROE) are classified into the cause criteria group, whereas current ratio (CR), earnings per share (EPS), return on asset (ROA) and debt to assets ratio (DAR) are categorized into the effect criteria group. The top three most influential financial ratios are ROE, CR and DER. The significance of this paper is to determine the causal relationship of financial network towards the financial performance of the companies with the proposed entropy–DEMATEL–TOPSIS model. The ranking identification of the companies in this study is beneficial to the investors to select the companies with good performance in portfolio investment. The proposed model has been applied and validated in the portfolio investment using a mean-variance model based on the selection of companies with good performance. The results show that the proposed model is able to generate higher mean return than the benchmark DJIA index at minimum risk. However, short sale is not allowed for the applicability of the proposed model in portfolio investment. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

12 pages, 2946 KiB  
Article
Research on the Robustness of the Chinese Input–Output Network Based on Relative Entropy Theory
by Weidong Li, Anjian Wang and Wanli Xing
Entropy 2022, 24(8), 1043; https://doi.org/10.3390/e24081043 - 29 Jul 2022
Viewed by 999
Abstract
The input–output (IO) network is the quantitative description of an IO-based economy in which nodes represent industries and edges connecting nodes represent the economic connection between industries. Robustness refers to the ability of tolerating perturbations that might affect the system’s functional body. There [...] Read more.
The input–output (IO) network is the quantitative description of an IO-based economy in which nodes represent industries and edges connecting nodes represent the economic connection between industries. Robustness refers to the ability of tolerating perturbations that might affect the system’s functional body. There is both practical and theoretical significance to explore the robustness of the IO network for economic development. In this paper, we probe the robustness of the Chinese IO network based on the relative entropy of the probability distribution of network parameters (node degree, strongest path betweenness, downstream closeness and upstream closeness) under random node or edge failure and intentional node or edge attack. It is found that the Chinese IO network shows relatively weak robustness when it is under intentional attack, but relatively strong robustness when it is under random failure. Our experiment also verifies the applicability and effectiveness of the relative entropy model in measuring the robustness of the IO network. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

14 pages, 787 KiB  
Article
The Spatial Heterogeneity Effect of Green Finance Development on Carbon Emissions
by Langang Feng, Shu Shang, Sufang An and Wenli Yang
Entropy 2022, 24(8), 1042; https://doi.org/10.3390/e24081042 - 29 Jul 2022
Cited by 8 | Viewed by 1605
Abstract
This paper uses the entropy method to estimate China’s green financial development from four aspects, namely, green credit, green securities, green insurance, and green investment, based on the provincial-level panel data from 2008 to 2019. The spatial Durbin model (SDM) is adopted to [...] Read more.
This paper uses the entropy method to estimate China’s green financial development from four aspects, namely, green credit, green securities, green insurance, and green investment, based on the provincial-level panel data from 2008 to 2019. The spatial Durbin model (SDM) is adopted to estimate the spatial effect of green finance on carbon emissions. We then compare the heterogeneous effect in the South and North of China. The results show that China’s green financial development can significantly reduce carbon emissions, and regional heterogeneities are obvious. In the South of China, this effect from local and adjacent regions is not significant, while on the whole, green finance can significantly reduce carbon emissions; but for Northern China, this effect is not significant; nationally, the development of green finance and carbon emissions in adjacent areas showed an inverted U-shaped relationship. China’s green financial development and carbon emissions also showed an inverted U-shaped relationship. These results suggest that the effect of green finance development on carbon emissions exhibits substantial regional heterogeneity in China. Our paper provides some concrete empirical evidence for policymakers to formulate green financial policies to achieve the double carbon goal in China. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

19 pages, 3080 KiB  
Article
Revisiting the Dynamic Response of Chinese Price Level to Crude Oil Price Shocks Based on a Network Analysis Method
by Qingru Sun, Ze Wang and Nanfei Jia
Entropy 2022, 24(7), 944; https://doi.org/10.3390/e24070944 - 07 Jul 2022
Cited by 2 | Viewed by 1289
Abstract
Crude oil price shocks have led to a fluctuation in commodity prices through the industrial chain and supply–demand relationships, which can substantially influence a country’s economy. In this paper, we propose a transmission model of oil price shocks to Chinese price levels and [...] Read more.
Crude oil price shocks have led to a fluctuation in commodity prices through the industrial chain and supply–demand relationships, which can substantially influence a country’s economy. In this paper, we propose a transmission model of oil price shocks to Chinese price levels and explore the direct and indirect impacts of crude oil price shocks on various Chinese price indices, combining the Granger causality test, impulse response function, and network analysis method. The empirical data are the Brent, WTI, Dubai, and Daqing spot crude oil prices and eight categories of Chinese price indices from January 2011 to March 2020. We found the following results: (1) Consumer price index (CPI) and the price index for means of agricultural production (MAPPI) cannot be directly impacted by crude oil price fluctuations, while they could be indirectly affected. (2) The duration and degree of the impacts of oil prices on each price index vary, and the export price index (EPI) is the most significantly affected. (3) The proportion of the indirect impact in the total impact of crude oil price shocks ranges from 0.03% to 100.00%. Thus, indirect influence cannot be ignored when analyzing the influence of crude oil price fluctuation on Chinese price level. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

13 pages, 24243 KiB  
Article
Research on Nickel Material Trade Redistribution Strategy Based on the Maximum Entropy Principle
by Xingxing Wang, Anjian Wang, Weiqiong Zhong and Depeng Zhu
Entropy 2022, 24(7), 938; https://doi.org/10.3390/e24070938 - 06 Jul 2022
Cited by 3 | Viewed by 1230
Abstract
In the double carbon background, riding the wind of new energy vehicles and the battery high nickelization, nickel resources rise along with the trend. In recent years, due to the influence of geopolitical conflicts and emergencies, as well as the speculation and control [...] Read more.
In the double carbon background, riding the wind of new energy vehicles and the battery high nickelization, nickel resources rise along with the trend. In recent years, due to the influence of geopolitical conflicts and emergencies, as well as the speculation and control of international capital with its advantages and rules, the world may face price and security supply risks to a certain extent. Therefore, to obtain the most objective trade redistribution strategy, this paper first constructs the nickel material trade network, identifies the core trading countries and the main trade relations of nickel material trade, and finds that the flow of nickel material mainly occurred between a few countries. On this basis, a trade redistribution model is constructed based on the maximum entropy principle. Taking Indonesia, the largest exporter, and the largest trade relationship (Indonesia exports to China) as examples, the nickel material redistribution between countries when different supply risks occur are simulated. The results can provide an important reference for national resource recovery after the risk of the nickel trade. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

25 pages, 8604 KiB  
Article
Multiscale Price Lead-Lag Relationship between Steel Materials and Industry Chain Products Based on Network Analysis
by Sui Guo, Ze Wang, Xing Zhou and Yanan Wang
Entropy 2022, 24(7), 865; https://doi.org/10.3390/e24070865 - 23 Jun 2022
Cited by 3 | Viewed by 1270
Abstract
As two main steelmaking materials, iron ore and scrap steel have different price lead-lag relationships (PLRs) on midstream and downstream steel products in China. The relationships also differ as the time scale varies. In this study, we compare the price influences of two [...] Read more.
As two main steelmaking materials, iron ore and scrap steel have different price lead-lag relationships (PLRs) on midstream and downstream steel products in China. The relationships also differ as the time scale varies. In this study, we compare the price influences of two important steel materials on midstream and downstream steel products at different time scales. First, we utilize the maximal overlap discrete wavelet transform (MODWT) method to decompose the original steel materials and products price series into short-term, midterm, and long-term time scale series. Then, we introduce the cross-correlation and Podobnik test method to calculate and test the price lead-lag relationships (PLRs) between two steel materials and 16 steel products. Finally, we construct 12 price lead-lag relationship networks and choose network indicators to present the price influence of the two materials at different time scales. We find that first, most scrap steel and steel products prices fluctuate at the same time lag order, while iron ore leads most steel products price for one day. Second, products that exist in the downstream industry chain usually lead to iron ore. Third, as the time scale becomes longer, the lead relationships from steel materials to steel products become closer. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

13 pages, 4130 KiB  
Article
The Linear Relationship Model with LASSO for Studying Stock Networks
by Muzi Chen, Hongjiong Tian, Boyao Wu and Tianhai Tian
Entropy 2022, 24(6), 808; https://doi.org/10.3390/e24060808 - 09 Jun 2022
Viewed by 1539
Abstract
The correlation-based network is a powerful tool to reveal the influential mechanisms and relations in stock markets. However, current methods for developing network models are dominantly based on the pairwise relationship of positive correlations. This work proposes a new approach for developing stock [...] Read more.
The correlation-based network is a powerful tool to reveal the influential mechanisms and relations in stock markets. However, current methods for developing network models are dominantly based on the pairwise relationship of positive correlations. This work proposes a new approach for developing stock relationship networks by using the linear relationship model with LASSO to explore negative correlations under a systemic framework. The developed model not only preserves positive links with statistical significance but also includes link directions and negative correlations. We also introduce blends cliques with the balance theory to investigate the consistency properties of the developed networks. The ASX 200 stock data with 194 stocks are applied to evaluate the effectiveness of our proposed method. Results suggest that the developed networks not only are highly consistent with the correlation coefficient in terms of positive or negative correlations but also provide influence directions in stock markets. Full article
(This article belongs to the Special Issue Complex Network Analysis in Econometrics)
Show Figures

Figure 1

Back to TopTop