英文标题：
《Comparative analysis of layered structures in empirical investor
networks and cellphone communication networks》
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作者：
Peng Wang (ECUST), Jun-Chao Ma (ECUST), Zhi-Qiang Jiang (ECUST),
Wei-Xing Zhou (ECUST), and Didier Sornette (ETH Zurich)
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最新提交年份：
2019
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英文摘要：
Empirical investor networks (EIN) proposed by \\cite{Ozsoylev-Walden-Yavuz-Bildik-2014-RFS} are assumed to capture the information spreading path among investors. Here, we perform a comparative analysis between the EIN and the cellphone communication networks (CN) to test whether EIN is an information exchanging network from the perspective of the layer structures of ego networks. We employ two clustering algorithms ($k$-means algorithm and $H/T$ break algorithm) to detect the layer structures for each node in both networks. We find that the nodes in both networks can be clustered into two groups, one that has a layer structure similar to the theoretical Dunbar Circle corresponding to that the alters in ego networks exhibit a four-layer hierarchical structure with the cumulative number of 5, 15, 50 and 150 from the inner layer to the outer layer, and the other one having an additional inner layer with about 2 alters compared with the Dunbar Circle. We also find that the scale ratios, which are estimated based on the unique parameters in the theoretical model of layer structures \\citep{Tamarit-Cuesta-Dunbar-Sanchez-2018-PNAS}, conform to a log-normal distribution for both networks. Our results not only deepen our understanding on the topological structures of EIN, but also provide empirical evidence of the channels of information diffusion among investors.
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中文摘要：
假设由Ozsoylev-Walden-Yavuz-Bildik-2014-RFS提出的经验投资者网络（EIN）能够捕捉投资者之间的信息传播路径。在这里，我们对EIN和手机通信网络（CN）进行了比较分析，从自我网络的层次结构的角度来检验EIN是否是一个信息交换网络。我们采用两种聚类算法（k$-均值算法和$H/T$中断算法）来检测两个网络中每个节点的层结构。我们发现两个网络中的节点都可以分为两组，一组具有类似于理论邓巴圆的层结构，对应于ego网络中的alters呈现四层层次结构，从内层到外层的累积数量为5、15、50和150，另一个有一个额外的内层，与邓巴圆相比有大约2个变化。我们还发现，基于层结构理论模型citep{Tamarit-Cuesta-Dunbar-Sanchez-2018-PNAS}中的唯一参数估计的标度比符合两个网络的对数正态分布。我们的结果不仅加深了我们对EIN拓扑结构的理解，而且为投资者之间的信息传播渠道提供了实证证据。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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