Detect colluded stock manipulation via clique in trading network

doi:10.1016/j.physa.2018.09.011

	Detect colluded stock manipulation via clique in trading network
	Shi, Fa-Bin 1,2; Sun, Xiao-Qian 1,3; Shen, Hua-Wei 1,2; Cheng, Xue-Qi 1,2
	2019
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
卷号	513 页码:565-571
摘要	Market manipulation is one of the important issues that draw much attention from academia and industry. Many efforts have been made to detect manipulation in stock market. However, with the development of technology, the means of manipulation become more and more diversified and the effective detection methods remain to be an open problem. Here, we develop a generalized method for colluded traders detection based on transaction data. We investigate the clique of trading network, and find the number and weight of clique are greater in manipulated stocks than that in non-manipulated stocks. We further propose a method to detect colluded traders based on weight of cliques. Results demonstrate that our method is effective at distinguishing the manipulated stocks and the colluded traders. (C) 2018 Published by Elsevier B.V.
关键词	Colluded manipulation Clique Trading network Manipulation detection
DOI	10.1016/j.physa.2018.09.011
收录类别	SCI
语种	英语
资助项目	National Basic Research Program of China (973 Program)[2014CB340401] ; National Natural Science Foundation of China[91746301] ; National Natural Science Foundation of China[61802370] ; National Natural Science Foundation of China[61425016] ; National Natural Science Foundation of China[61472400] ; Open Project Funding of Collaborative Innovation Center for Economics crime investigation and prevention technology, China[JXJZXTCX-010]
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000448496200051
出版者	ELSEVIER SCIENCE BV
引用统计	被引频次：11[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/2XEOYT63/3636
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	1.Chinese Acad Sci, Inst Comp Technol, CAS Key Lab Network Data Sci & Technol, Beijing, Peoples R China 2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 3.Collaborat Innovat Ctr Econ Crime Invest & Preven, Nanjing, Jiangxi, Peoples R China
推荐引用方式 GB/T 7714	Shi, Fa-Bin,Sun, Xiao-Qian,Shen, Hua-Wei,et al. Detect colluded stock manipulation via clique in trading network[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2019,513:565-571.
APA	Shi, Fa-Bin,Sun, Xiao-Qian,Shen, Hua-Wei,&Cheng, Xue-Qi.(2019).Detect colluded stock manipulation via clique in trading network.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,513,565-571.
MLA	Shi, Fa-Bin,et al."Detect colluded stock manipulation via clique in trading network".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 513(2019):565-571.