The scale-free topology of market investments

被引:107
作者
Garlaschelli, D
Battiston, S
Castri, M
Servedio, VDP
Caldarelli, G
机构
[1] INFM, I-53100 Siena, Italy
[2] Univ Siena, Dipartimento Fis, I-53100 Siena, Italy
[3] ENS, Phys Stat Lab, F-75005 Paris, France
[4] DYRAS02, I-05017 Monteleone Orvieto, TR, Italy
[5] INFM, Udr Roma La Sapienza, I-00185 Rome, Italy
[6] Ctr Studio Ric Enrico Fermi, I-00184 Rome, Italy
关键词
complex networks; econophysics; wealth distribution; Pareto's law;
D O I
10.1016/j.physa.2004.11.040
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
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 of incoming link weights (nu) of an investor correspond to the number of assets held (portfolio diversification) and to the invested wealth (portfolio volume), respectively. An empirical analysis of three different real markets reveals that the distributions of both k(in), and nu display power-law tails with exponents gamma and alpha. Moreover, we find that k(in), scales as a power-law function of nu with an exponent beta. Remarkably, despite the values of alpha, beta and gamma differ across the three markets, they are always governed by the scaling relation beta = (1 - alpha)/(1 - gamma). We show that these empirical findings can be reproduced by a recent model relating the emergence of scale-free networks to an underlying Paretian distribution of 'hidden' vertex properties. (c) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码:491 / 499
页数:9
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