Distinguishing manipulated stocks via trading network analysis
AbstractManipulation 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 over a hundred stocks in a one-year period is conducted. For each stock, a trading network is constructed to characterize the relations among its investors. In trading networks, nodes represent investors and a directed link connects a stock seller to a buyer with the total trade size as the weight of the link, and the node strength is the sum of all edge weights of a node. For all these trading networks, we find that the node degree and node strength both have tails following a power-law distribution. Compared with non-manipulated stocks, manipulated stocks have a high lower bound of the power-law tail, a high average degree of the trading network and a low correlation between the price return and the seller-buyer ratio. These findings may help us to detect manipulated stocks.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1110.2260.
Date of creation: Oct 2011
Date of revision:
Publication status: Published in Physica A 390 (2011) 3427--3434
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-22 (All new papers)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-MST-2011-10-22 (Market Microstructure)
- NEP-NET-2011-10-22 (Network Economics)
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