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Network topology of an experimental futures exchange

  • Interdisciplinary Physics
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Abstract.

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.

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Authors and Affiliations

  1. Institute of Systems Biology and Bioinformatics, National Central University, Chungli, 320, Taiwan

    S. C. Wang

  2. Neuroscience Research Department, Centre for Addiction and Mental Health, Toronto, Ontario, M5T 1R8, Canada

    S. C. Wang

  3. AI-Econ Research Center and Department of Economics, National Chengchi University, Taipei, 116, Taiwan

    J. J. Tseng, C. C. Tai, K. H. Lai, W. S. Wu & S. H. Chen

  4. Institute of Physics, Academia Sinica, Taipei, 115, Taiwan

    S. P. Li

Authors
  1. S. C. Wang
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  2. J. J. Tseng
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  3. C. C. Tai
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  4. K. H. Lai
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  5. W. S. Wu
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  6. S. H. Chen
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  7. S. P. Li
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Correspondence to S. C. Wang.

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Wang, S., Tseng, J., Tai, C. et al. Network topology of an experimental futures exchange. Eur. Phys. J. B 62, 105–111 (2008). https://doi.org/10.1140/epjb/e2008-00119-8

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  • DOI: https://doi.org/10.1140/epjb/e2008-00119-8

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