In this paper, we construct five systemic risk indicators and test their performances based on four different datasets. It is observed that the five indicators can accurately indicate the increment of systemic risks during the periods of sub-prime crisis and European debt crisis. Trading strategies based on the risk indicators are further designed to test the warning ability of future price drops. The backtests reveal that trading based on the five indicators provides satisfied excess returns when the trading costs are included. Our results provide insights to find new network-based risk indicators to early warn the systemic risks in financial markets.

中文翻译：

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基于相关性网络的股票市场系统性风险与交易策略

在本文中，我们构建了五个系统性风险指标，并基于四个不同的数据集测试了它们的表现。观察到，这五个指标能够准确反映次贷危机和欧债危机期间系统性风险的增量。进一步设计基于风险指标的交易策略来测试未来价格下跌的预警能力。回溯测试表明，在包括交易成本的情况下，基于五个指标的交易提供了令人满意的超额回报。我们的结果为寻找新的基于网络的风险指标提供了见解，以早期警告金融市场的系统性风险。