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Register a new userDisentangling bipartite and core-periphery structure in financial networks
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A growing number of systems are represented as networks whose architecture conveys significant information and determines many of their properties. Examples of network architecture include modular, bipartite, and core-periphery structures. However inferring the network structure is a non trivial task and can depend sometimes on the chosen null model. Here we propose a method for classifying network structures and ranking its nodes in a statistically well-grounded fashion. The method is based on the use of Belief Propagation for learning through Entropy Maximization on both the Stochastic Block Model (SBM) and the degree-corrected Stochastic Block Model (dcSBM). As a specific application we show how the combined use of the two ensembles -SBM and dcSBM- allows to disentangle the bipartite and the core-periphery structure in the case of the e-MID interbank network. Specifically we find that, taking into account the degree, this interbank network is better described by a bipartite structure, while using the SBM the core-periphery structure emerges only when data are aggregated for more than a week.
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Bipartite networks are a common type of network data in which there are two types of vertices, and only vertices of different types can be connected. While bipartite networks exhibit community structure like their unipartite counterparts, existing approaches to bipartite community detection have drawbacks, including implicit parameter choices, loss of information through one-mode projections, and lack of interpretability. Here we solve the community detection problem for bipartite networks by formulating a bipartite stochastic block model, which explicitly includes vertex type information and may be trivially extended to $k$-partite networks. This bipartite stochastic block model yields a projection-free and statistically principled method for community detection that makes clear assumptions and parameter choices and yields interpretable results. We demonstrate this models ability to efficiently and accurately find community structure in synthetic bipartite networks with known structure and in real-world bipartite networks with unknown structure, and we characterize its performance in practical contexts.
Intermediate-scale (or `meso-scale) structures in networks have received considerable attention, as the algorithmic detection of such structures makes it possible to discover network features that are not apparent either at the local scale of nodes and edges or at the global scale of summary statistics. Numerous types of meso-scale structures can occur in networks, but investigations of such features have focused predominantly on the identification and study of community structure. In this paper, we develop a new method to investigate the meso-scale feature known as core-periphery structure, which entails identifying densely-connected core nodes and sparsely-connected periphery nodes. In contrast to communities, the nodes in a core are also reasonably well-connected to those in the periphery. Our new method of computing core-periphery structure can identify multiple cores in a network and takes different possible cores into account. We illustrate the differences between our method and several existing methods for identifying which nodes belong to a core, and we use our technique to examine core-periphery structure in examples of friendship, collaboration, transportation, and voting networks.
Core-periphery structure, the arrangement of a network into a dense core and sparse periphery, is a versatile descriptor of various social, biological, and technological networks. In practice, different core-periphery algorithms are often applied interchangeably, despite the fact that they can yield inconsistent descriptions of core-periphery structure. For example, two of the most widely used algorithms, the k-cores decomposition and the classic two-block model of Borgatti and Everett, extract fundamentally different structures: the latter partitions a network into a binary hub-and-spoke layout, while the former divides it into a layered hierarchy. We introduce a core-periphery typology to clarify these differences, along with Bayesian stochastic block modeling techniques to classify networks in accordance with this typology. Empirically, we find a rich diversity of core-periphery structure among networks. Through a detailed case study, we demonstrate the importance of acknowledging this diversity and situating networks within the core-periphery typology when conducting domain-specific analyses.
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade. The price return is determined by the volume imbalance and number of trades. The model successfully reproduces the power-law distributions of the trading volume, number of trades and price return, and their relations. Moreover, the generated time series are long-range correlated. We demonstrate that the results are rather robust, and do not depend on the particular form of the trading probability.
This paper has been withdrawn by the authors.
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