Distinguishing manipulated stocks via trading network analysis

doi:10.1016/j.physa.2011.04.006

	Distinguishing manipulated stocks via trading network analysis
	Sun, Xiao-Qian; Cheng, Xue-Qi; Shen, Hua-Wei; Wang, Zhao-Yang
	2011-10-01
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
卷号	390 期号:20 页码:3427-3434
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.
关键词	Network analysis Trading network Power law Manipulation
DOI	10.1016/j.physa.2011.04.006
收录类别	SCI
语种	英语
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
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000294590800023
出版者	ELSEVIER SCIENCE BV
引用统计	被引频次：24[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://119.78.100.204/handle/2XEOYT63/12873
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.