Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978030 | Physica A: Statistical Mechanics and its Applications | 2008 | 9 Pages |
Abstract
We investigate the cluster behavior of financial markets within the framework of a model based on a scale-free network. In this model, a cluster is formed by connected agents that are in the same state. The cumulative distribution of clusters is found to be a power-law. We find that the probability distribution of the liquidity parameter, which measures the financial markets' energy, is rather robust. Furthermore, the time series of the liquidity parameter have the characteristics of 1/f noise, which may indicate the fractal geometry of financial markets.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
J. Jiang, W. Li, X. Cai,