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In order to study the fluctuation of bivariate correlation which had time series characters, this paper selected International crude oil futures prices and Chinese Daqing crude oil spot prices as the sample data, using the method of statistical physics to study. The modes of fluctuation of correlation were defined by coarse graining process. Then three problems modes' statistics, law of variation and evolution mechanism were analyzed by complex network theory and analytical method. The results indicated that forms of modes showed that consecutive days of weak or strong positive correlation, and modes obeyed the power-law distribution. There were three kinds of sub-groups appearing in the network of fluctuation of bivariate correlation. These sub-groups were fluctuation of weak positive correlation, strong positive correlation and unrelated, and a core mode existed in each category of sub-groups. Transmission and evolution of fluctuation of bivariate correlation were a few modes. The fluctuation of bivariate correlation was transmitted and evolved by a few modes. The fluctuation had periodicity that the transmission among modes need average 8.74 days and a whole volatility cycle need about 18.55 days. These results not only can be the analyze method between two variables but also provides idea for researching a general law in different variables.
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Keywords:
- complex networks /
- coarse-grained /
- correlation /
- fluctuations
[1] James E H, Davidson, David F H, Frank S, Yeo S 1978 Econ. J. 88 661
[2] Robert F E, Granger C W J 1987 Econometrica 55 251
[3] Nathan S B, Thomas B F 1997 Int. Econ. Rev. 38 627
[4] Coppola A 2008 J. Futures Mark. 28 34
[5] Svetlana M, Russell S 2009 Energ Policy 37 1687
[6] Huang B N, Yang C W, Hwang M J 2009 Energy Econ. 31 91
[7] Hao B L 1999 Science 51 3
[8] Wackerbauer R, Witt A, Atmanspacher H, Kurths J, Scheingraber H 1994 Chaos Solitons Fractals 4 133
[9] Feng G L, Hou W, Dong W J 2006 Acta Phys. Sin. 55 962 (in Chinese) [封国林, 侯威, 董文杰 2006 55 962]
[10] Zhang D Z 2007 Acta Phys. Sin. 56 3152 (in Chinese) [张佃中2007 56 3152]
[11] Xu P J, Tang Y Y, Zhang J, Zhang Z B, Wang K, Shao Y, Shen H J, Mao Y C 2011 Acta Phys. Chim. Sin. 27 1839 (in Chinese) [许佩军, 唐媛媛, 张静, 张知博, 王昆, 邵颖, 沈虎峻, 毛英臣 2011物理化学学报 27 1839]
[12] Zhang H Y, Wang Y Y, Tao G Q, Gui B, Yin C L, Chai Y M, Que G H 2011 Acta Chim. Sin. 69 2053 (in Chinese) [张宏玉, 王艳艳, 陶国强, 桂彬, 殷长龙, 柴永明 2011 化学学报 69 2053]
[13] Watts D J, Strogatz S H 1998 Nature 393 6684
[14] Newman M E J 1999 Phys. Lett. A 263 341
[15] Barabási A L, Albert R 1999 Science 286 509
[16] Janssen M A, Walker B H, Langridge J, Abel N 2000 Ecol. Modell. 131 249
[17] Zhang L, Liu Y 2008 Acta Phy. Sin. 57 5419 (in Chinese) [张立, 刘云 2008 57 5419]
[18] Kelesa A, Kolcakb M, Keles A 2008 Knowl. Based Syst. 21 951
[19] Zhou L, Gong Z Q, Zhi R, Feng G L 2008 Acta Phys. Sin. 57 7380 (in Chinese) [周磊, 龚志强, 支蓉, 封国林 2008 57 7380]
[20] Chen W D, Xu H, Guo Q 2010 Acta Phys. Sin. 59 4514 (in Chinese) [陈卫东, 徐华, 郭琦 2010 59 4514]
[21] Gao X Y, An H Z, Liu H H, Ding Y H 2011 Acta Phy.sin.60 0689021 (in Chinese) [高湘昀, 安海忠, 刘红红, 丁颖辉 2010 60 0689021]
[22] Yook S H, Jeong H, Barabási A L, Tu Y 2001 Phys. Rev. Lett. 86 5835
[23] Wasserman S, Faust K 1994 Social network analysis: Methods and applications (Cambridge: Cambridge University Press) p275
[24] Ronald S B 1992 Strnctural Holes: the Social Strulture of Competition (Cambridge: Harvard University Press) p66
[25] Barrat A, Barthelemy M, Pastor S R, Vespignani A, 2004 Proc. Nalt. Acad. Sci. U.S.A 101 3747
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[1] James E H, Davidson, David F H, Frank S, Yeo S 1978 Econ. J. 88 661
[2] Robert F E, Granger C W J 1987 Econometrica 55 251
[3] Nathan S B, Thomas B F 1997 Int. Econ. Rev. 38 627
[4] Coppola A 2008 J. Futures Mark. 28 34
[5] Svetlana M, Russell S 2009 Energ Policy 37 1687
[6] Huang B N, Yang C W, Hwang M J 2009 Energy Econ. 31 91
[7] Hao B L 1999 Science 51 3
[8] Wackerbauer R, Witt A, Atmanspacher H, Kurths J, Scheingraber H 1994 Chaos Solitons Fractals 4 133
[9] Feng G L, Hou W, Dong W J 2006 Acta Phys. Sin. 55 962 (in Chinese) [封国林, 侯威, 董文杰 2006 55 962]
[10] Zhang D Z 2007 Acta Phys. Sin. 56 3152 (in Chinese) [张佃中2007 56 3152]
[11] Xu P J, Tang Y Y, Zhang J, Zhang Z B, Wang K, Shao Y, Shen H J, Mao Y C 2011 Acta Phys. Chim. Sin. 27 1839 (in Chinese) [许佩军, 唐媛媛, 张静, 张知博, 王昆, 邵颖, 沈虎峻, 毛英臣 2011物理化学学报 27 1839]
[12] Zhang H Y, Wang Y Y, Tao G Q, Gui B, Yin C L, Chai Y M, Que G H 2011 Acta Chim. Sin. 69 2053 (in Chinese) [张宏玉, 王艳艳, 陶国强, 桂彬, 殷长龙, 柴永明 2011 化学学报 69 2053]
[13] Watts D J, Strogatz S H 1998 Nature 393 6684
[14] Newman M E J 1999 Phys. Lett. A 263 341
[15] Barabási A L, Albert R 1999 Science 286 509
[16] Janssen M A, Walker B H, Langridge J, Abel N 2000 Ecol. Modell. 131 249
[17] Zhang L, Liu Y 2008 Acta Phy. Sin. 57 5419 (in Chinese) [张立, 刘云 2008 57 5419]
[18] Kelesa A, Kolcakb M, Keles A 2008 Knowl. Based Syst. 21 951
[19] Zhou L, Gong Z Q, Zhi R, Feng G L 2008 Acta Phys. Sin. 57 7380 (in Chinese) [周磊, 龚志强, 支蓉, 封国林 2008 57 7380]
[20] Chen W D, Xu H, Guo Q 2010 Acta Phys. Sin. 59 4514 (in Chinese) [陈卫东, 徐华, 郭琦 2010 59 4514]
[21] Gao X Y, An H Z, Liu H H, Ding Y H 2011 Acta Phy.sin.60 0689021 (in Chinese) [高湘昀, 安海忠, 刘红红, 丁颖辉 2010 60 0689021]
[22] Yook S H, Jeong H, Barabási A L, Tu Y 2001 Phys. Rev. Lett. 86 5835
[23] Wasserman S, Faust K 1994 Social network analysis: Methods and applications (Cambridge: Cambridge University Press) p275
[24] Ronald S B 1992 Strnctural Holes: the Social Strulture of Competition (Cambridge: Harvard University Press) p66
[25] Barrat A, Barthelemy M, Pastor S R, Vespignani A, 2004 Proc. Nalt. Acad. Sci. U.S.A 101 3747
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