Time-varying network analysis of fluctuations between crude oil and Chinese and U.S. gold prices in different periods

Abstract

Gold has both commodity, monetary, and financial attributes and is a symbol of assets. The price of gold is not only affected by the relationship between the supply and demand of goods but also by economic and political changes. Crude oil crises, financial crises, etc. can cause the price of gold to fluctuate. We used a complex network method to study the correlation between crude oil and gold prices. First, the period was divided according to the fluctuation of crude oil prices. Then, the symbolic, coarse-grained methods of use to constructed mode. Finally, the following were defined: the mode as nodes, the transmission between the modes as edges, and the transmission frequency as the weight to construct the network. The network analysis results show that the network characteristics in the different periods are different. The changes of key mode in the correlation between crude oil and gold require at least 3–6 days, and more inclined to maintain the same state during the mode transformation. The change in the correlation between crude oil and gold can be changed from a positive (negative) to negative (positive) only with the help of the media mode. Crude oil is more correlated with US gold prices. By studying the correlation between crude oil and gold, this paper can manage price fluctuations in different markets and provide a reference for investors and policymakers.