Distinguishing manipulated stocks via trading network analysis
文献类型：期刊论文
| 作者 | Sun, Xiao-Qian; Cheng, Xue-Qi; Shen, Hua-Wei; Wang, Zhao-Yang |
| 刊名 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
 |
| 出版日期 | 2011-10-01 |
| 卷号 | 390期号:20页码:3427-3434 |
| 关键词 | Network analysis Trading network Power law Manipulation |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2011.04.006 |
| 英文摘要 | Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of over a hundred stocks in a one-year period is conducted. For each stock, a trading network is constructed to characterize the relations among its investors. In trading networks, nodes represent investors and a directed link connects a stock seller to a buyer with the total trade size as the weight of the link, and the node strength is the sum of all edge weights of a node. For all these trading networks, we find that the node degree and node strength both have tails following a power-law distribution. Compared with non-manipulated stocks, manipulated stocks have a high lower bound of the power-law tail, a high average degree of the trading network and a low correlation between the price return and the seller-buyer ratio. These findings may help us to detect manipulated stocks. (C) 2011 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China[60873245] ; National Natural Science Foundation of China[60933005] ; National Natural Science Foundation of China[60803123] ; National High-Tech R&D (863) Program of China[2010AA012500] |
| WOS研究方向 | Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000294590800023 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://119.78.100.204/handle/2XEOYT63/12872]  |
| 专题 | 中国科学院计算技术研究所期刊论文_英文 |
| 通讯作者 | Sun, Xiao-Qian |
| 作者单位 | Chinese Acad Sci, Inst Comp Technol, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sun, Xiao-Qian,Cheng, Xue-Qi,Shen, Hua-Wei,et al. Distinguishing manipulated stocks via trading network analysis[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2011,390(20):3427-3434. |
| APA | Sun, Xiao-Qian,Cheng, Xue-Qi,Shen, Hua-Wei,&Wang, Zhao-Yang.(2011).Distinguishing manipulated stocks via trading network analysis.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,390(20),3427-3434. |
| MLA | Sun, Xiao-Qian,et al."Distinguishing manipulated stocks via trading network analysis".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 390.20(2011):3427-3434. |
入库方式： OAI收割
来源：计算技术研究所
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