General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures

doi:10.1371/journal.pone.0199500

CORC > 理论物理研究所 > 中国科学院理论物理研究所 > 理论物理所科研产出 > 理论物理所1978-2010年知识产出

	General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures
	Chen, XS; Wang, L ; Yan, Y 3; Li, XT
刊名	PLOS ONE
	2018
卷号	13 期号:7 页码:e0199500
关键词	COMPLEX NETWORKS STOCK-MARKET DYNAMICS
ISSN号	1932-6203
DOI	10.1371/journal.pone.0199500
英文摘要	PCA has been widely used in many fields to detect dominant principle components, but it ignores the information embedded in the remaining components. As a supplement to PCA, we propose the General Component Analysis (GCA). The inverse participation ratios (IPRs) are used to identify the global components (GCs) and localized components (LCs). The mean values of the IPRs derived from the shuffled data are taken as the natural threshold, which is exquisite and novel. In this paper, the Chinese corporate bond market is analyzed as an example. We propose a novel network method to divide time periods based on micro data, which performs better in capturing the time points when the market state switches. As a result, two periods have been obtained. There are two GCs in both periods, which are influenced by terms to maturity and ratings. Besides, there are 382 LCs in Period 1 and 166 LCs in Period 2. In the LC portfolios there are two interesting bond collections which are helpful to understand the thoughts of the investors. One is the supper AAA bond collection which is believed to have implicit governmental guarantees by the investors, and the other is the overcapacity industrial bond collection which is influenced by the supply-side reform led by the Chinese government. GCA is expected to be applied to other complex systems.
学科主题	Science & Technology - Other Topics
语种	英语
内容类型	期刊论文
源URL	[http://ir.itp.ac.cn/handle/311006/22868]
专题	理论物理研究所_理论物理所1978-2010年知识产出
作者单位	1.Chinese Acad Sci, Inst Theoret Phys, Beijing, Peoples R China 2.Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Chen, XS,Wang, L,Yan, Y,et al. General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures[J]. PLOS ONE,2018,13(7):e0199500.
APA	Chen, XS,Wang, L,Yan, Y,&Li, XT.(2018).General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures.PLOS ONE,13(7),e0199500.
MLA	Chen, XS,et al."General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures".PLOS ONE 13.7(2018):e0199500.