The scale-free topology of market investments
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 350 (2005)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Complex networks; Econophysics; Wealth distribution; Pareto's law;
Other versions of this item:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- De Masi, G. & Giovannetti, G. & Ricchiuti, G., 2013. "Network analysis to detect common strategies in Italian foreign direct investment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1202-1214.
- Stefania Vitali & Stefano Battiston, 2013. "The Community Structure of the Global Corporate Network," Papers 1301.2363, arXiv.org.
- Ilaria Bordino & Stefano Battiston & Guido Caldarelli & Matthieu Cristelli & Antti Ukkonen & Ingmar Weber, 2011. "Web search queries can predict stock market volumes," Papers 1110.4784, arXiv.org, revised Jun 2012.
- Giulia Rotundo & Anna D’Arcangelis, 2014. "Network of companies: an analysis of market concentration in the Italian stock market," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1893-1910, July.
- Wang, Junjie & Zhou, Shuigeng & Guan, Jihong, 2011. "Characteristics of real futures trading networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 398-409.
- Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008.
"A network analysis of the Italian overnight money market,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 32(1), pages 259-278, January.
- Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005. "A network analysis of the Italian oversight money market," Working Papers 05/05, Department of Economics, City University London.
- Massimo Riccaboni & Stefano Schiavo, 2009. "The Structure and Growth of Weighted Networks," Papers 0908.0348, arXiv.org, revised Dec 2009.
- Stefano Battiston & Joao F. Rodrigues & Hamza Zeytinoglu, 2007.
"The Network Of Inter-Regional Direct Investment Stocks Across Europe,"
Advances in Complex Systems (ACS),
World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 29-51.
- Stefano Battiston & Jo\~ao F. Rodrigues & Hamza Zeytinoglu, 2005. "The Network of Inter-Regional Direct Investment Stocks across Europe," Papers physics/0508206, arXiv.org.
- Marco Fattore & Rosanna Grassi, 2014. "Measuring dynamics and structural change of time-dependent socio-economic networks," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1821-1834, July.
- Gao, Bo & Ren, Ruo-en, 2013. "The topology of a causal network for the Chinese financial system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(13), pages 2965-2976.
- Yang, Chunxia & Chen, Yanhua & Niu, Lei & Li, Qian, 2014. "Cointegration analysis and influence rank—A network approach to global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 168-185.
- Konno, Tomohiko, 2009. "Network structure of Japanese firms. Scale-free, hierarchy, and degree correlation: analysis from 800,000 firms," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(31), pages 1-13.
- Nicol\'o Musmeci & Stefano Battiston & Guido Caldarelli & Michelangelo Puliga & Andrea Gabrielli, 2012. "Bootstrapping topology and systemic risk of complex network using the fitness model," Papers 1209.6459, arXiv.org.
- Ma, Yuan-yuan & Zhuang, Xin-tian & Li, Ling-xuan, 2011. "Research on the relationships of the domestic mutual investment of China based on the cross-shareholding networks of the listed companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(4), pages 749-759.
- Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe, 2014. "The Structure and Evolution of Buyer-Supplier Networks," UTokyo Price Project Working Paper Series 019, University of Tokyo, Graduate School of Economics.
- Giulia Rotundo & Anna D’Arcangelis, 2010. "Ownership and control in shareholding networks," Journal of Economic Interaction and Coordination, Springer, vol. 5(2), pages 191-219, December.
- Piccardi, Carlo & Calatroni, Lisa & Bertoni, Fabio, 2010. "Communities in Italian corporate networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5247-5258.
- Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2010. "Complex stock trading network among investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4929-4941.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.