Network topology of an experimental futures exchange

DOI10.1140/EPJB/E2008-00119-8zbMATH Open1189.91135arXiv0705.2551OpenAlexW3123692518MaRDI QIDQ978688FDOQ978688

Authors: S. C. Wang, J. J. Tseng, Chung-Ching Tai, Kee-hung Lai, Wei-Shao Wu, Shu-Heng Chen, Sai-Ping Li 

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/0705.2551

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Mathematics Subject Classification ID

Applications of graph theory (05C90) Social networks; opinion dynamics (91D30) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Cites Work

• Statistical mechanics of complex networks
• Collective dynamics of `small-world' networks
• Introduction to Econophysics
• The structure of scientific collaboration networks
• The worldwide air transportation network: Anomalous centrality, community structure, and cities' global roles
• Stable infinite variance fluctuations in randomly amplified Langevin systems
• PREDICTION OF BIRD FLU A(H5N1) OUTBREAKS IN TAIWAN BY ONLINE AUCTION: EXPERIMENTAL RESULTS

Cited In (4)

• A model of task-deletion mechanism based on the priority queueing system of Barabási
• Topological properties of commodities networks
• Effects of network topology on wealth distributions
• STOCK MARKET DIFFERENCES IN CORRELATION-BASED WEIGHTED NETWORK

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