Price fluctuation in the energy stock market based on fluctuation and co-fluctuation matrix transmission networks

Abstract

Few studies address fluctuation and co-fluctuation patterns in the short term or their roles and transmission pathways over the long term. Here, we used the 10-year daily price of the NASDAQ Top 10 listed energy companies to obtain daily returns of each energy stock. The daily fluctuation and co-fluctuation patterns, roles and relationships were studied based on the fluctuation transmission network (FTN) and co-fluctuation matrix transmission network (CMTN). We found that each energy stock has a different price fluctuation feature, and any two of them have obvious positive correlations; however, only four-ninths of them have spillover relations. For the FTN, we transformed each daily return into a symbol and combined the symbols into a fluctuation pattern; next, the fluctuation pattern was taken as a node and the pattern adjacent relations as edges to construct the network. For the CMTN, we transferred the daily return relations for any two energy stocks to the daily co-fluctuation matrices and then constructed the network based on the time adjacent relations. Then, we used and also defined some coefficients to analyze the roles of each fluctuation and co-fluctuation pattern and their relationships. This paper provides a novel method for researching fluctuations in energy financial market.