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Detecting anomalous traders using multi-slice network analysis

文献类型：期刊论文

作者Sun, Xiao-Qian1,2; Shen, Hua-Wei1; Cheng, Xue-Qi1; Zhang, Yuqing2
刊名PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
出版日期2017-05-01
卷号473页码:1-9
关键词Network analysis Trading network Multi-slice network Manipulation Anomaly detection
ISSN号0378-4371
DOI10.1016/j.physa.2016.12.052
英文摘要Manipulation is an important issue for both developed and emerging stock markets. Many efforts have been made to detect manipulation in stock market. However, it is still an open problem to identify the fraudulent traders, especially when they collude with each other. In this paper, we focus on the problem of identifying anomalous traders using the transaction data of 8 manipulated stocks and 42 non-manipulated stocks during a one-year period. For each stock, we construct a multi-slice trading network to characterize the daily trading behavior and the cross-day participation of each trader. Comparing the multi-slice trading network of manipulated stocks and non-manipulated stocks with their randomized version, we find that manipulated stocks exhibit high number of trader pairs that trade with each other in multiple days and high deviation from randomized network at correlation between trading frequency and trading activity. These findings are effective at distinguishing manipulated stocks from non-manipulated ones and at identifying anomalous traders. (C) 2017 Elsevier B.V. All rights reserved.
资助项目National Basic Research Program of China (the 973 program)[2014CB340401] ; National Basic Research Program of China (the 973 program)[2013CB329602] ; National Natural Science Foundation of China[61232010] ; National Natural Science Foundation of China[61425016] ; National Natural Science Foundation of China[61433014]
WOS研究方向Physics
语种英语
WOS记录号WOS:000394061500001
出版者ELSEVIER SCIENCE BV
源URL[http://119.78.100.204/handle/2XEOYT63/7420]  
专题中国科学院计算技术研究所期刊论文_英文
通讯作者Shen, Hua-Wei
作者单位1.Chinese Acad Sci, Inst Comp Technol, CAS Key Lab Network Data Sci & Technol, Beijing 100190, Peoples R China
2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China
推荐引用方式
GB/T 7714		 Sun, Xiao-Qian,Shen, Hua-Wei,Cheng, Xue-Qi,et al. Detecting anomalous traders using multi-slice network analysis[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2017,473:1-9.
APA Sun, Xiao-Qian,Shen, Hua-Wei,Cheng, Xue-Qi,&Zhang, Yuqing.(2017).Detecting anomalous traders using multi-slice network analysis.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,473,1-9.
MLA Sun, Xiao-Qian,et al."Detecting anomalous traders using multi-slice network analysis".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 473(2017):1-9.

入库方式： OAI收割

来源：计算技术研究所

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