Related papers: Scale-free Network in Financial Correlations
We propose a network description of large market investments, where both stocks and shareholders are represented as vertices connected by weighted links corresponding to shareholdings. In this framework, the in-degree ($k_{in}$) and the sum…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…
We propose and study a model of weighted scale-free networks incorporating a stochastic scheme for weight assignments to the links, taking into account both the popularity and fitness of a node. As the network grows the weights of links are…
A general random graph evolution mechanism is defined. The evolution is a combination of the preferential attachment model and the interaction of N vertices (N>=3). A vertex in the graph is characterized by its degree and its weight. The…
Clustering is well-known to play a prominent role in the description and understanding of complex networks, and a large spectrum of tools and ideas have been introduced to this end. In particular, it has been recognized that the abundance…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment.…
We study a problem of data packet transport in scale-free networks whose degree distribution follows a power-law with the exponent $\gamma$. We define load at each vertex as the accumulated total number of data packets passing through that…
The rate equations are used to study the scale-free behavior of the weight distribution in evolving networks whose topology is determined only by degrees of preexisting vertices. An analysis of these equations shows that the degree…
Several studies on real complex networks from different fields as biology, economy, or sociology have shown that the degree of nodes (number of edges connected to each node) follows a scale-free power-law distribution like $P(k)\approx…
We investigate the financial network in the Korean stock exchange (KSE) market, using both numerical simulations and scaling arguments. We estimate the cross-correlation on the stock price exchanges of all companies listed on the the Korean…
We conduct a market experiment with human agents in order to explore the structure of transaction networks and to study the dynamics of wealth accumulation. The experiment is carried out on our platform for 97 days with 2,095 effective…
Many weighted scale-free networks are known to have a power-law correlation between strength and degree of nodes, which, however, has not been well explicated. We investigate the dynamic behaviors of resource/traffic flow on scale-free…
In discrete contexts such as the degree distribution for a graph, \emph{scale-free} has traditionally been \emph{defined} to be \emph{power-law}. We propose a reasonable interpretation of \emph{scale-free}, namely, invariance under the…
We bring rigor to the vibrant activity of detecting power laws in empirical degree distributions in real-world networks. We first provide a rigorous definition of power-law distributions, equivalent to the definition of regularly varying…
We propose a simple random process inducing various types of random graphs and the scale free random graphs among others. The model is of a threshold nature and differs from the preferential attachment approach discussed in the literature…
Many real networks are complex and have power-law vertex degree distribution, short diameter, and high clustering. We analyze the network model based on thresholding of the summed vertex weights, which belongs to the class of networks…
We study a modified version of a model previously proposed by Jackson and Wolinsky to account for communicating information and allocating goods in socioeconomic networks. In the model, the utility function of each node is given by a…
We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the…
In this paper, we present a simple model of scale-free networks that incorporates both preferential & random attachment and anti-preferential & random deletion at each time step. We derive the degree distribution analytically and show that…