Detecting anomalous traders using multi-slice network analysis

doi:10.1016/j.physa.2016.12.052

	Detecting anomalous traders using multi-slice network analysis
	Sun, Xiao-Qian 1,2; Shen, Hua-Wei 1; Cheng, Xue-Qi 1; Zhang, Yuqing 2
	2017-05-01
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
卷号	473 页码:1-9
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.
关键词	Network analysis Trading network Multi-slice network Manipulation Anomaly detection
DOI	10.1016/j.physa.2016.12.052
收录类别	SCI
语种	英语
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
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000394061500001
出版者	ELSEVIER SCIENCE BV
引用统计	被引频次：10[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/2XEOYT63/7421
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.