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    題名: Network Topology of an Experimental Futures Exchange
    作者: 陳樹衡
    Chen,S.H.;Wang,S.C.;Tseng,J.J.;Tai,C.C.;Lai,K.H.;Wu,W.S.;Li,S.P.
    貢獻者: 政大經濟系
    關鍵詞: 89.65.Gh Economics;econophysics;financial markets;business and management;89.75.Da Systems obeying scaling laws
    日期: 2008
    上傳時間: 2011-07-28 10:36:30 (UTC+8)
    摘要: Many systems of different nature exhibit scale free behaviors. Economic systems with power
    law distribution in the wealth are one of the examples. To better understand the working behind the complexity, we undertook an experiment recording 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 small-world with a power law exponent of 1.02 ± 0.09 in the degree distribution after an exponential decay correction. The small-world property emerged early in the experiment while the number of participants was still small. We also show power law-like 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.
    關聯: European Physics Journal B, 62(1), 105-111
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1140/epjb/e2008-00119-8
    DOI: 10.1140/epjb/e2008-00119-8
    顯示於類別:[經濟學系] 期刊論文

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