Eur. Phys. J. B 71, 523-531 (2009)
https://doi.org/10.1140/epjb/e2009-00255-7

Network and eigenvalue analysis of financial transaction networks

¹ Complex Systems Research Group, HNO, Medical University of Vienna, Währinger Gürtel 18-20, 1090 Vienna, Austria
² Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM, 87501, USA
³ Financial Markets Analysis and Surveillance Division, Oesterreichische Nationalbank, Otto Wagner Platz 3, 1090 Vienna, Austria

Corresponding author: ^a thurner@univie.ac.at

Received: 19 January 2009
Revised: 4 June 2009
Published online: 21 July 2009

Abstract

We study a dataset containing all financial transactions between the accounts of practically all major financial players within Austria over one year. We empirically analyze transaction networks of money (in and out) flows and report the characteristic network parameters. We observe a significant dependence of network topology on the time scales of observation, and remarkably low correlation between node degrees and transaction volume. We further use transaction timeseries of the financial agents to compute covariance matrices and their eigenvalue spectra. Eigenvectors corresponding to eigenvalues deviating from the Marcenko-Pastur law are analyzed in detail. The potential for practical use as an automated detection mechanism for abnormal behavior of financial players is discussed. The opinion expressed in this paper is that of the authors and does not necessarily reflect the opinion of the OeNB or the ESCB.