Related papers: Complex stock trading network among investors
We investigated the topological properties of stock networks through a comparison of the original stock network with the estimated stock network from the correlation matrix created by the random matrix theory (RMT). We used individual…
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying…
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order…
Studying the micro-trading behaviors before stock price jumps is an important problem for financial regulations and investment decisions. In this study, we provide a new framework to study pre-jump trading behaviors based on multivariate…
We have performed a detailed investigation on the world investment networks constructed from the Coordinated Portfolio Investment Survey (CPIS) data of the International Monetary Fund, ranging from 2001 to 2006. The distributions of degrees…
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A…
We discuss how various models of scale-free complex networks approach their limiting properties when the size N of the network grows. We focus mainly on equilibrated networks and their finite-size degree distributions. Our results show that…
Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices.…
A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to…
We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly…
Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less…
We report the statistical properties of three bus-transport networks (BTN) in three different cities of China. These networks are composed of a set of bus lines and stations serviced by these. Network properties, including the degree…
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive…
The correlation-based financial networks are studied intensively. However, previous studies ignored the importance of the anti-correlation. This paper is the first to consider the anti-correlation and positive correlation separately, and…
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and…
A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied…
A fundamental problem in studying and modeling economic and financial systems is represented by privacy issues, which put severe limitations on the amount of accessible information. Here we introduce a novel, highly nontrivial method to…
This study examines degree distributions in two large collaboration networks: the Microsoft Academic Graph (1800-2020) and Internet Movie Database (1900-2020), comprising $2.72 \times 10^8$ and $1.88 \times 10^6$ nodes respectively.…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…