Related papers: Complex stock trading network among investors

According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated.…

The degree distribution of many biological and technological networks has been described as a power-law distribution. While the degree distribution does not capture all aspects of a network, it has often been suggested that its functional…

We embrace a fresh perspective to auditing by analyzing a large set of companies as complex financial networks rather than static aggregates of balance sheet data. Preliminary analyses show that network centrality measures within these…

The worldwide trade network has been widely studied through different data sets and network representations with a view to better understanding interactions among countries and products. Here we investigate international trade through the…

We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…

We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function…

The Japanese shareholding network at the end of March 2002 is studied. To understand the characteristics of this network intuitively, we visualize it as a directed graph and an adjacency matrix. Especially detailed features of networks…

This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient and specifically designed to take advantage of the spatial structure of limit order…

We propose a methodological framework to study the dynamics of inter-regional investment flow in Europe from a Complex Networks perspective, an approach with recent proven success in many fields including economics. In this work we study…

We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest…

The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…

In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an essential role in the design of optimal submission strategies of…

We show power-scaling behaviors for fluctuations in share volume, which no other studies have so far done. After analyzing a database of the daily transactions for all securities listed on the Tokyo Stock Exchange, we selected 1050 large…

We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market. We train DRL agents to trade one unit of Intel Corporation stock by employing the Proximal Policy…

This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…

We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with…

The Japanese shareholding network existing at the end of March 2002 is studied empirically. The network is constructed from 2,303 listed companies and 53 non-listed financial institutions. We consider this network as a directed graph by…

Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit…

Complex network theory crucially depends on the assumptions made about the degree distribution, while fitting degree distributions to network data is challenging, in particular for scale-free networks with power-law degrees. We present a…

We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected…