Related papers: Complex stock trading network among investors
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are…
Evolving network models under a dynamic growth rule which comprises the addition and deletion of nodes are investigated. By adding a node with a probability $P_a$ or deleting a node with the probability $P_d=1-P_a$ at each time step, where…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
We investigate the effectiveness of a momentum trading signal based on the coverage network of financial analysts. This signal builds on the key information-brokerage role financial sell-side analysts play in modern stock markets. The…
Many weighted scale-free networks are known to have a power-law correlation between strength and degree of nodes, which, however, has not been well explicated. We investigate the dynamic behaviors of resource/traffic flow on scale-free…
Optimal trade execution is an important problem faced by essentially all traders. Much research into optimal execution uses stringent model assumptions and applies continuous time stochastic control to solve them. Here, we instead take a…
Understanding the structure and evolution of online bipartite networks is a significant task since they play a crucial role in various e-commerce services nowadays. Recently, various attempts have been tried to propose different models,…
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on…
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of…
Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…
Characterizing temporal evolution of stock markets is a fundamental and challenging problem. The literature on analyzing the dynamics of the markets has focused so far on macro measures with less predictive power. This paper addresses this…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
Complex networks have recently aroused a lot of interest. However, network edges are considered to be the same in almost all these studies. In this paper, we present a simple classification method, which divides the edges of undirected,…
The availability of large scale streaming network data has reinforced the ubiquity of power-law distributions in observations and enabled precision measurements of the distribution parameters. The increased accuracy of these measurements…
As a major part of the daily operation in an enterprise, purchasing frequency is of constant change. Recent approaches on the human dynamics can provide some new insights into the economic behaviors of companies in the supply chain. This…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
Traditional Long Short-Term Memory (LSTM) networks are effective for handling sequential data but have limitations such as gradient vanishing and difficulty in capturing long-term dependencies, which can impact their performance in dynamic…
It was experimentally observed that the majority of real-world networks follow power law degree distribution. The aim of this paper is to study the algorithmic complexity of such "typical" networks. The contribution of this work is twofold.…
We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the…
We study the topological properties of the multinetwork of commodity-specific trade relations among world countries over the 1992-2003 period, comparing them with those of the aggregate-trade network, known in the literature as the…