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Features of the Correlation Structure of Price Indices

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  • Xiangyun Gao
  • Haizhong An
  • Weiqiong Zhong

Abstract

What are the features of the correlation structure of price indices? To answer this question, 5 types of price indices, including 195 specific price indices from 2003 to 2011, were selected as sample data. To build a weighted network of price indices each price index is represented by a vertex, and a positive correlation between two price indices is represented by an edge. We studied the features of the weighted network structure by applying economic theory to the analysis of complex network parameters. We found that the frequency of the price indices follows a normal distribution by counting the weighted degrees of the nodes, and we identified the price indices which have an important impact on the network's structure. We found out small groups in the weighted network by the methods of k-core and k-plex. We discovered structure holes in the network by calculating the hierarchy of the nodes. Finally, we found that the price indices weighted network has a small-world effect by calculating the shortest path. These results provide a scientific basis for macroeconomic control policies.

Suggested Citation

  • Xiangyun Gao & Haizhong An & Weiqiong Zhong, 2013. "Features of the Correlation Structure of Price Indices," PLOS ONE, Public Library of Science, vol. 8(4), pages 1-9, April.
    • Handle: RePEc:plo:pone00:0061091
    DOI: 10.1371/journal.pone.0061091
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    4. An, Haizhong & Zhong, Weiqiong & Chen, Yurong & Li, Huajiao & Gao, Xiangyun, 2014. "Features and evolution of international crude oil trade relationships: A trading-based network analysis," Energy, Elsevier, vol. 74(C), pages 254-259.
    5. Huang, Xuan & An, Haizhong & Fang, Wei & Gao, Xiangyun & Wang, Lijun & Sun, Xiaoqi, 2016. "Impact assessment of international anti-dumping events on synchronization and comovement of the Chinese photovoltaic stocks," Renewable and Sustainable Energy Reviews, Elsevier, vol. 59(C), pages 459-469.
    6. Li, Huajiao & Fang, Wei & An, Haizhong & Yan, LiLi, 2014. "The shareholding similarity of the shareholders of the worldwide listed energy companies based on a two-mode primitive network and a one-mode derivative holding-based network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 525-532.
    7. Huang, Shupei & An, Haizhong & Gao, Xiangyun & Wen, Shaobo & Jia, Xiaoliang, 2016. "The global interdependence among oil-equity nexuses," Energy, Elsevier, vol. 107(C), pages 259-271.
    8. Hao, Xiaoqing & An, Haizhong & Qi, Hai & Gao, Xiangyun, 2016. "Evolution of the exergy flow network embodied in the global fossil energy trade: Based on complex network," Applied Energy, Elsevier, vol. 162(C), pages 1515-1522.
    9. Qingru Sun & Xiangyun Gao & Shaobo Wen & Sida Feng & Ze Wang, 2019. "Modeling the impulse response complex network for studying the fluctuation transmission of price indices," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 835-858, December.
    10. Liu, Nairong & An, Haizhong & Gao, Xiangyun & Li, Huajiao & Hao, Xiaoqing, 2016. "Breaking news dissemination in the media via propagation behavior based on complex network theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 44-54.
    11. Zhong, Weiqiong & An, Haizhong & Gao, Xiangyun & Sun, Xiaoqi, 2014. "The evolution of communities in the international oil trade network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 42-52.
    12. An, Haizhong & Gao, Xiangyun & Fang, Wei & Ding, Yinghui & Zhong, Weiqiong, 2014. "Research on patterns in the fluctuation of the co-movement between crude oil futures and spot prices: A complex network approach," Applied Energy, Elsevier, vol. 136(C), pages 1067-1075.
    13. Sun, Qingru & Gao, Xiangyun & Wen, Shaobo & Chen, Zhihua & Hao, Xiaoqing, 2018. "The transmission of fluctuation among price indices based on Granger causality network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 36-49.
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