Related papers: Complex stock trading network among investors
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of…
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…
We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network consists of nodes and directed links, where every trader is a…
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and…
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of…
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit size-dependent non-universal long memory and…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the…
Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the…
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23…
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The…
Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than…
Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-time Markov chain model to the sequence of orders of stocks…
We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is…
We conduct a market experiment with human agents in order to explore the structure of transaction networks and to study the dynamics of wealth accumulation. The experiment is carried out on our platform for 97 days with 2,095 effective…
Many real networks are complex and have power-law vertex degree distribution, short diameter, and high clustering. We analyze the network model based on thresholding of the summed vertex weights, which belongs to the class of networks…