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Characteristics of real futures trading networks

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Author Info

  • Wang, Junjie
  • Zhou, Shuigeng
  • Guan, Jihong
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    Abstract

    Futures trading is the core of futures business, and it is considered as one of the typical complex systems. To investigate the complexity of futures trading, we employ the analytical method of complex networks. First, we use real trading records from the Shanghai Futures Exchange to construct futures trading networks, in which nodes are trading participants, and two nodes have a common edge if the two corresponding investors appear simultaneously in at least one trading record as a purchaser and a seller, respectively. Then, we conduct a comprehensive statistical analysis on the constructed futures trading networks. Empirical results show that the futures trading networks exhibit features such as scale-free behavior with interesting odd–even-degree divergence in low-degree regions, small-world effect, hierarchical organization, power-law betweenness distribution, disassortative mixing, and shrinkage of both the average path length and the diameter as network size increases. To the best of our knowledge, this is the first work that uses real data to study futures trading networks, and we argue that the research results can shed light on the nature of real futures business.

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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 390 (2011)
    Issue (Month): 2 ()
    Pages: 398-409

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    Handle: RePEc:eee:phsmap:v:390:y:2011:i:2:p:398-409

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

    Related research

    Keywords: Complex networks; Futures trading networks; Scale-free scaling; Small-world effect;

    References

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    Cited by:
    1. Sun, Xiao-Qian & Cheng, Xue-Qi & Shen, Hua-Wei & Wang, Zhao-Yang, 2011. "Distinguishing manipulated stocks via trading network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3427-3434.
    2. Zhi-Qiang Jiang & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & W. -X. Zhou, 2012. "Trading networks, abnormal motifs and stock manipulation," Papers 1301.0007, arXiv.org.
    3. Ming-Xia Li & Zhi-Qiang Jiang & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Wei-Xing Zhou, 2013. "Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant," Papers 1308.0925, arXiv.org.
    4. Xiao-Qian Sun & Xue-Qi Cheng & Hua-Wei Shen & Zhao-Yang Wang, 2011. "Distinguishing manipulated stocks via trading network analysis," Papers 1110.2260, arXiv.org.

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