<abstract xmlns="http://www.w3.org/1999/xhtml"><p>In this study, we present a model which represents the interaction of financial companies in their network. Since the long time series have a global memory effect, we present our model in the terms of fractional integro-differential equations. This model characterize the behavior of the complex network where vertices are the financial companies operating in <italic>XU</italic>100 and edges are formed by distance based on Pearson correlation coefficient. This behavior can be seen as the financial interactions of the agents. Hence, we first cluster the complex network in the terms of high modularity of the edges. Then, we give a system of fractional integro-differential equation model with two parameters. First parameter defines the strength of the connection of agents to their cluster. Hence, to estimate this parameter we use vibrational potential of each agent in their cluster. The second parameter in our model defines how much agents in a cluster affect each other. Therefore, we use the disparity measure of PMFGs of each cluster to estimate second parameter. To solve model numerically we use an efficient algorithmic decomposition method and concluded that those solutions are consistent with real world data. The model and the solutions we present with fractional derivative show that the real data of Borsa Istanbul Stock Exchange Market always seek for an equilibrium state.</p></abstract>

In this study, we present a model which represents the interaction of financial companies in their network. Since the long time series have a global memory effect, we present our model in the terms of fractional integro-differential equations. This model characterize the behavior of the complex network where vertices are the financial companies operating in XU100 and edges are formed by distance based on Pearson correlation coefficient. This behavior can be seen as the financial interactions of the agents. Hence, we first cluster the complex network in the terms of high modularity of the edges. Then, we give a system of fractional integro-differential equation model with two parameters. First parameter defines the strength of the connection of agents to their cluster. Hence, to estimate this parameter we use vibrational potential of each agent in their cluster. The second parameter in our model defines how much agents in a cluster affect each other. Therefore, we use the disparity measure of PMFGs of each cluster to estimate second parameter. To solve model numerically we use an efficient algorithmic decomposition method and concluded that those solutions are consistent with real world data. The model and the solutions we present with fractional derivative show that the real data of Borsa Istanbul Stock Exchange Market always seek for an equilibrium state.

Fractional Interaction of Financial Agents in a Stock Market Network

Faculty of Science, Department of Mathematics

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Fractional Interaction of Financial Agents in a Stock Market Network"}

In this study, we present a model which represents the interaction of financial companies in their network. Since the long time series have a global memory...

Fractional Interaction of Financial Agents in a Stock Market Network

Publié en ligne: 31 mars 2020

Pages: 317 - 336

Reçu: 14 juin 2019

Accepté: 20 août 2019

DOI: https://doi.org/10.2478/amns.2020.1.00030

Mots clés
Network Modelling, Stock Market Network, Fractional Calculus, Caputo Fractional Derivative

© 2020 Mehmet Ali Balcı, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fractional Interaction of Financial Agents in a Stock Market Network

Publié en ligne: 31 mars 2020

Pages: 317 - 336

Reçu: 14 juin 2019

Accepté: 20 août 2019

DOI: https://doi.org/10.2478/amns.2020.1.00030

Mots clésNetwork Modelling, Stock Market Network, Fractional Calculus, Caputo Fractional Derivative

© 2020 Mehmet Ali Balcı, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Mots clés
Network Modelling, Stock Market Network, Fractional Calculus, Caputo Fractional Derivative