Network Topology of an Experimental Futures Exchange

Abstract

Many systems of different nature exhibit scale free behaviors. Economic systems with power law distribution in the wealth is one of the examples. To better understand the working behind the complexity, we undertook an empirical study measuring 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 scale-free with a power law exponent of 1.02+-0.09 in the degree distribution. The small-world property emerged early in the experiment while the number of participants was still small. We also show power law 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.

arXiv comment6 pages, 12 figures

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Cited by in corpus (5)

• Statistical properties of agent-based models in markets with continuous double auction mechanism
• Trading networks, abnormal motifs and stock manipulation
• Characteristics of Real Futures Trading Networks
• Experimental evidence for the interplay between individual wealth and transaction network
• Bounds of memory strength for power-law series