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題名 Emergence of Scale-Free Networks in Markets
作者 Chen,Shu-Heng;Tseng,Jie-Jun ;Wang,Sun-Chong ;Li,Sai-Ping
貢獻者 政治大學經濟系
日期 2009
上傳時間 28-Jul-2011 10:36:24 (UTC+8)
摘要 Financial markets are complex systems, all the information scattered around the market is fairly and dynamically reflected in the current prices. However, it is difficult to understand the dynamics of markets merely by traditional analyzing methods. We here propose a new concept inspired by complex networks to study the trading behavior and the dynamics of markets. A web-based platform for prediction market which trades the political futures contracts is built to monitor the trading behavior among the human players. Two experiments were conducted on this platform in parallel for 30 days. From the accumulated transaction data, we reconstruct
     the so-called cash-flow networks. By examining the degree distributions of these networks, we observe that the network structure is scale-free with a power-law exponent of 1.15±0.07, which means that there must be a non-trivial mechanism governing the network growth in our markets. Through carrying out a post-simulation modelling by a continuous double auction market with ”zero-intelligence” traders, we demonstrate that such a simple model is capable of generating scale-free networks. We thus suggest that the scale-free nature of the cash-flow networks should rely on the institutional design and the structure of markets rather than on the traders’strategies.
關聯 Advances in Complex Systems, 12, 87-97
資料類型 article
DOI http://dx.doi.org/10.1142/S021952590900209X
dc.contributor 政治大學經濟系en_US
dc.creator (作者) Chen,Shu-Heng;Tseng,Jie-Jun ;Wang,Sun-Chong ;Li,Sai-Pingen_US
dc.date (日期) 2009en_US
dc.date.accessioned 28-Jul-2011 10:36:24 (UTC+8)-
dc.date.available 28-Jul-2011 10:36:24 (UTC+8)-
dc.date.issued (上傳時間) 28-Jul-2011 10:36:24 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/50621-
dc.description.abstract (摘要) Financial markets are complex systems, all the information scattered around the market is fairly and dynamically reflected in the current prices. However, it is difficult to understand the dynamics of markets merely by traditional analyzing methods. We here propose a new concept inspired by complex networks to study the trading behavior and the dynamics of markets. A web-based platform for prediction market which trades the political futures contracts is built to monitor the trading behavior among the human players. Two experiments were conducted on this platform in parallel for 30 days. From the accumulated transaction data, we reconstruct
     the so-called cash-flow networks. By examining the degree distributions of these networks, we observe that the network structure is scale-free with a power-law exponent of 1.15±0.07, which means that there must be a non-trivial mechanism governing the network growth in our markets. Through carrying out a post-simulation modelling by a continuous double auction market with ”zero-intelligence” traders, we demonstrate that such a simple model is capable of generating scale-free networks. We thus suggest that the scale-free nature of the cash-flow networks should rely on the institutional design and the structure of markets rather than on the traders’strategies.		-
dc.language.iso en_US-
dc.relation (關聯) Advances in Complex Systems, 12, 87-97en_US
dc.title (題名) Emergence of Scale-Free Networks in Marketsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1142/S021952590900209Xen_US
dc.doi.uri (DOI) http://dx.doi.org/10.1142/S021952590900209Xen_US