The scale-free topology of market investments

Simple item page
dc.creatorGarlaschelli, Diego
dc.creatorBattiston, Stefano
dc.creatorCastri, Maurizio
dc.creatorServedio, Vito D. P.
dc.creatorCaldarelli, Guido
dc.date2003-10-21
dc.date2004-12-16
dc.date.accessioned2026-07-07T12:38:19Z
dc.date.available2026-07-07T12:38:19Z
dc.descriptionWe 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 ($k_{in}$) and the sum of incoming link weights ($v$) of an investor correspond to the number of assets held (\emph{portfolio diversification}) and to the invested wealth (\emph{portfolio volume}) respectively. An empirical analysis of three different real markets reveals that the distributions of both $k_{in}$ and $v$ display power-law tails with exponents $γ$ and $α$. Moreover, we find that $k_{in}$ 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.
dc.descriptionFinal version accepted for publication on Physica A
dc.identifierhttps://arxiv.org/abs/cond-mat/0310503
dc.identifierhttp://arxiv.org/abs/cond-mat/0310503
dc.identifierPhysica A 350 (2-4), 491-499 (2005)
dc.identifierdoi:10.1016/j.physa.2004.11.040
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/218719
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectAdaptation and Self-Organizing Systems
dc.subjectPhysics and Society
dc.subjectPortfolio Management
dc.titleThe scale-free topology of market investments
dc.typetext

Files

Collections

arXiv