کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9727823 | 1480210 | 2005 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The scale-free topology of market investments
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The scale-free topology of market investments The scale-free topology of market investments](/preview/png/9727823.png)
چکیده انگلیسی
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 (kin) and the sum of incoming link weights (v) 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 kin and v display power-law tails with exponents γ and α. Moreover, we find that kin scales as a power-law function of v with an exponent β. Remarkably, despite the values of α, β and γ differ across the three markets, they are always governed by the scaling relation β=(1-α)/(1-γ). 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 350, Issues 2â4, 15 May 2005, Pages 491-499
Journal: Physica A: Statistical Mechanics and its Applications - Volume 350, Issues 2â4, 15 May 2005, Pages 491-499
نویسندگان
Diego Garlaschelli, Stefano Battiston, Maurizio Castri, Vito D.P. Servedio, Guido Caldarelli,