485 research outputs found
Network Topology of an Experimental Futures Exchange
Many systems of different nature exhibit scale free behaviors. Economic
systems with power law distribution in the wealth is one of the examples. To
better understand the working behind the complexity, we undertook an empirical
study measuring the interactions between market participants. A Web server was
setup to administer the exchange of futures contracts whose liquidation prices
were coupled to event outcomes. After free registration, participants started
trading to compete for the money prizes upon maturity of the futures contracts
at the end of the experiment. The evolving `cash' flow network was
reconstructed from the transactions between players. We show that the network
topology is hierarchical, disassortative and scale-free with a power law
exponent of 1.02+-0.09 in the degree distribution. The small-world property
emerged early in the experiment while the number of participants was still
small. We also show power law distributions of the net incomes and
inter-transaction time intervals. Big winners and losers are associated with
high degree, high betweenness centrality, low clustering coefficient and low
degree-correlation. We identify communities in the network as groups of the
like-minded. The distribution of the community sizes is shown to be power-law
distributed with an exponent of 1.19+-0.16.Comment: 6 pages, 12 figure
Large-scale structure of a nation-wide production network
Production in an economy is a set of firms' activities as suppliers and
customers; a firm buys goods from other firms, puts value added and sells
products to others in a giant network of production. Empirical study is lacking
despite the fact that the structure of the production network is important to
understand and make models for many aspects of dynamics in economy. We study a
nation-wide production network comprising a million firms and millions of
supplier-customer links by using recent statistical methods developed in
physics. We show in the empirical analysis scale-free degree distribution,
disassortativity, correlation of degree to firm-size, and community structure
having sectoral and regional modules. Since suppliers usually provide credit to
their customers, who supply it to theirs in turn, each link is actually a
creditor-debtor relationship. We also study chains of failures or bankruptcies
that take place along those links in the network, and corresponding
avalanche-size distribution.Comment: 17 pages with 8 figures; revised section VI and references adde
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Testing for non-linearity in daily sterling exchange rates
A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day. Irrefutable evidence of non-linearity is shown in many of the series, but most of this dependence can apparently be explained by reference to the GARCH family of models. It is suggested that the literature in this area has reached an impasse, with the presence of ARCH effects clearly demonstrated in a large number of papers, but with the tests for non-linearity which are currently available being unable to classify any additional non-linear structure
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