Network properties of trading
AbstractIn this paper we examine the connection of microscopic network properties of trading and macroscopic properties of prices. Using intraday trading data from the London Stock Exchange, we are able to track which institutions traded with which and reconstruct the network of exchanged stocks. We call each institution a node in the network and connect the nodes according to whether the two institutions exchanged stocks. We then examine the correlations between the structure of the resulting trading network and properties of prices, such as volatility and absolute price change. The structure of the network is quantified by measures such as asymmetry of buying and selling volume distributions, average number of links per node or the clustering coefficient
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 328.
Date of creation: 11 Aug 2004
Date of revision:
market microstructure; limit order markets; networks;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.