Cluster behavior of a simple model in financial markets

J. Jiang, W. Li and X. Cai

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 2, 528-536

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.

Keywords: Cluster behavior; Liquidity parameter; Scale-free networks; Power-law scaling; Financial markets (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:2:p:528-536

DOI: 10.1016/j.physa.2007.09.030

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