Weighted Scale-Free Network in Financial Correlations

概要

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While many scale-free (SF) networks have been introduced recently for complex systems, most of them are binary random graphs. Here we introduce a weighted SF network in associated with the cross-correlations in stock price changes among the S&P 500 companies, where all vertices (companies) are fully connected and each edge has nonuniform weight given by the covariance between the two returns connected, normalized by their volatilities. Influence-strength (IS) is defined as the sum of the weights on the edges incident upon a given vertex. Then the IS distribution in its absolute magnitude |q| exhibits a SF behavior, P_1(|q|) 〜 |q|^<-η> with the exponent η≈ 1.8(1).
社団法人日本物理学会の論文
2002-09-15