New Physics: Sae Mulli (The Korean Physical Society), DOI: 10.3938/NPSM.61.962

Volume 61, Number 10, 2011¸   10 Z 4, pp. 962∼965

New Physics: Sae Mulli (The Korean Physical Society), DOI: 10.3938/NPSM.61.962

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Characteristics of a Financial Network in the Korean Stock Exchange

Jae Won Jung

Applied Meteorology Research Lab., National Institute of Meteorological Research, Seoul 156-720 Department of Physics, Pukyong National University, Busan 608-737

Kyungsik Kim ^∗

Department of Physics, Pukyong National University, Busan 608-737 (Received 25 July 2011 : revised 19 September 2011 : accepted 5 October 2011)

In this study, we investigate the financial network of the Korea Stock Exchange (KSE) by using both numerical simulations and scaling arguments. We estimate the cross correlation of stock prices for 554 companies listed on the Korea Stock Exchange in 2003, where these companies are fully connected via links by introducing a random graph. The degree distribution and the edge density are discussed mainly from a numerical point of view. In particular, the degree distribution is found to follow approximately a power law.

PACS numbers: 05.10.-a, 05.45.Df, 89.75.-k, 89.90.+n

Keywords: Korea Stock Exchange, Return, Degree distribution, Edge density

∗

E-mail: [email protected]

-962-

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 [16–19].

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s

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-964- ô  Dz D GÓ ü t o † < Æ rt  “D hÓ ü t o ”, Volume 61, Number 10, 2011¸   10 Z 4

Fig. 1. Plot of the distribution of the correlation co- effients in the Korea stock exchange, where the average value of C

_ij

is 0.176.

Fig. 2. (Color online) Degree distribution (or frequency of degree) of financial network for θ = 0.5, where P (k) ∼ k

^−γ

with the scaling exponent γ = 0.91.

III. ? _T ' [ A 0V Ä

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 .



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Fig. 3. Edge density as a function of the correlation threshold θ in financial market networks.

Fig. 4. (Color online) Plot of the size of the largest connected edge density as a function of the correlation threshold θ in financial market networks, where the con- nectivity threshold is 0.148.

 )

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4

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 ? /# Q ƒ    $ í ì  r _  ß ¼l (size of connected com-

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