Related papers: Scale-free Network in Financial Correlations
We study the rank distribution, the cumulative probability, and the probability density of returns of stock prices of listed firms traded in four stock markets. We find that the rank distribution and the cumulative probability of stock…
We analyze the threshold network model in which a pair of vertices with random weights are connected by an edge when the summation of the weights exceeds a threshold. We prove some convergence theorems and central limit theorems on the…
We theoretically and numerically investigated the threshold network model with a generic weight function where there were a large number of nodes and a high threshold. Our analysis was based on extreme value theory, which gave us a…
We derive the sampling properties of random networks based on weights whose pairwise products parameterize independent Bernoulli trials. This enables an understanding of many degree-based network models, in which the structure of realized…
In search of many social and economical systems, it is found that node strength distribution as well as degree distribution demonstrate the behavior of power-law with droop-head and heavy-tail. We present a new model for the growth of…
We study the evolution of random graphs where edges are added one by one between pairs of weighted vertices so that resulting graphs are scale-free with the degree exponent $\gamma$. We use the branching process approach to obtain scaling…
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and…
Scale-free networks are prevalently observed in a great variety of complex systems, which triggers various researches relevant to networked models of such type. In this work, we propose a family of growth tree networks $\mathcal{T}_{t}$,…
Understanding spreading dynamics will benefit society as a whole in better preventing and controlling diseases, as well as facilitating the socially responsible information while depressing destructive rumors. In network-based spreading…
We study Erd\"{o}s-R\'enyi random graphs with random weights associated with each link. We generate a new ``Supernode network'' by merging all nodes connected by links having weights below the percolation threshold (percolation clusters)…
The spectral densities of the weighted Laplacian, random walk and weighted adjacency matrices associated with a random complex network are studied using the replica method. The link weights are parametrized by a weight exponent $\beta$.…
In this paper, we study a model of opinion dynamics in a social network in the presence increasing interpersonal influence, i.e., increasing peer pressure. Each agent in the social network has a distinct social stress function given by a…
We present a novel type of weighted scale-free network model, in which the weight grows independently of the attachment of new nodes. The evolution of this network is thus determined not only by the preferential attachment of new nodes to…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
Given a network and a set of vertices called seeds to initially inject information, influence spread is the expected number of vertices that eventually receive the information under a certain stochastic model of information propagation.…
The expected value for the weighted crossing number of a randomly weighted graph is studied. A variation of the Crossing Lemma for expectations is proved. We focus on the case where the edge-weights are independent random variables that are…
Universal power laws have been scrutinised in physics and beyond, and a long-standing debate exists in econophysics regarding the strict universality of the nonlinear price impact, commonly referred to as the square-root law (SRL). The SRL…
We analyze historic S&P500 multi-day returns: from daily returns to those accumulated over up to ten days. Despite symmetry breaking between gains and losses in the distribution of returns, resulting in its positive mean and negative skew,…
In a recursive way and by including a parameter, we introduce a family of deterministic scale-free networks. The resulting networks exhibit small-world effects. We calculate the exact results for the degree exponent, the clustering…
This paper investigates the return-volatility asymmetry of Bitcoin. We find that the cross correlations between return and volatility (squared return) are mostly insignificant on a daily level. In the high-frequency region, we find thata…