Traders’ Networks of Interactions and Structural Properties of Financial Markets: An Agent-Based Approach

Table 2

Markets’ structure indicators results for scenarios described in Table 1 and for 100 assets randomly chosen from the S&P500 index. The ADF and KPSS and JB statistical tests report the number of assets that do not reject the null hypothesis, whereas the ARCH and LBQ tests report the number of assets that reject the null hypothesis.

Indicators
Scenario	ADF	KPSS	ARCH	LBQ	LeptoK	JB	# Sectors	ADF	KPSS
(i)	1	0	99	100	100	0	9	1	56
(ii)	3	0	99	99	100	0	8	2	58
(iii)	5	0	99	100	100	0	8	2	74
(iv)	0	0	99	99	99	0	4	2	73
(v)	0	0	98	99	98	0	4	3	73
(vi)	0	0	98	99	95	0	4	3	70
(vii)	0	0	99	99	98	0	4	2	71
(viii)	1	0	97	99	100	0	4	2	72
(ix)	1	0	97	99	98	0	5	2	74
(x)	90	0	94	100	98	0	8	6	74
(xi)	90	0	93	100	100	0	7	8	73
(xii)	93	0	92	100	100	0	9	9	75
(xiii)	88	0	92	100	100	0	7	10	74
(xiv)	92	0	93	100	100	0	7	7	74
(xv)	93	0	96	100	100	0	7	8	76
(xvi)	90	0	94	100	100	1	8	13	75
(xvii)	90	0	95	100	100	0	6	14	75
(xviii)	91	0	93	100	100	1	7	15	74
(xix)	4	0	7	10	4	43	-	17	71
(xx)	6	0	5	3	3	33	-	14	73
(xxi)	7	0	5	5	3	43	-	17	70
(xxii)	5	0	10	2	3	46	-	14	70
(xxiii)	6	0	5	9	2	46	-	16	70
(xxiv)	6	0	4	4	1	38	-	16	67
(xxv)	5	0	6	7	4	40	-	16	68
(xxvi)	4	0	9	6	3	41	-	15	70
(xxvii)	7	0	2	7	2	44	-	18	69
S&P500	85	0	77	100	100	0	6	7	76