Related papers: Scale-free Network in Financial Correlations
Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple…
We revisit the index leverage effect, that can be decomposed into a volatility effect and a correlation effect. We investigate the latter using a matrix regression analysis, that we call `Principal Regression Analysis' (PRA) and for which…
Scale-free power law structure describes complex networks derived from a wide range of real world processes. The extensive literature focuses almost exclusively on networks with power law exponent strictly larger than 2, which can be…
Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices.…
This article describes a complex network model whose weights are proportional to the difference between uniformly distributed ``fitness'' values assigned to the nodes. It is shown both analytically and experimentally that the strength…
In many complex systems, for the activity f(i) of the constituents or nodes i, a power-law relationship was discovered between the standard deviation sigma(i) and the average strength of the activity: sigma(i) ~ <f(i)>^alpha; universal…
We investigate the accumulated wealth distribution by adopting evolutionary games taking place on scale-free networks. The system self-organizes to a critical Pareto distribution (1897) of wealth $P(m)\sim m^{-(v+1)}$ with $1.6 < v <2.0$…
We present a novel methodology to quantify the "impact" of and "response" to market shocks. We apply shocks to a group of stocks in a part of the market, and we quantify the effects in terms of average losses on another part of the market…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…
All crucial features of the recently observed real-world weighted networks are obtained in a model where the weight of a link is defined with a single non-linear parameter $\alpha$ as $w_{ij}=(s_is_j)^\alpha$, $s_i$ and $s_j$ are the…
Most real-world networks are weighted graphs with the weight of the edges reflecting the relative importance of the connections. In this work, we study non degree dependent correlations between edge weights, generalizing thus the…
This article introduces a model for interacting vertex-reinforced random walks, each taking values on a complete sub-graph of a locally finite undirected graph. The transition probability for a walk to a given vertex depends on the…
A random intersection graph is constructed by assigning independently to each vertex a subset of a given set and drawing an edge between two vertices if and only if their respective subsets intersect. In this paper a model is developed in…
Measuring social influence is difficult due to the lack of counter-factuals and comparisons. By combining machine learning-based modeling and network science, we present general properties of social value, a recent measure for social…
Many biological, ecological and economic systems are best described by weighted networks, as the nodes interact with each other with varying strength. However, most network models studied so far are binary, the link strength being either 0…
We study a recent model of random networks based on the presence of an intrinsic character of the vertices called fitness. The vertices fitnesses are drawn from a given probability distribution density. The edges between pair of vertices…
Research in network science has shown that many naturally occurring and technologically constructed networks are scale free, that means a power law degree distribution emerges from a growth model in which each new node attaches to the…
The degree distributions of many real world networks follow power-laws whose exponents tend to fall between two and three. Within the framework of the Barabasi-Albert model (BA model), we explain this empirical observation by a simple fact.…
For $\alpha \in (1,2]$, the $\alpha$-stable graph arises as the universal scaling limit of critical random graphs with i.i.d. degrees having a given $\alpha$-dependent power-law tail behavior. It consists of a sequence of compact measured…