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Structural properties of statistically validated empirical information networks

Author

Listed:
  • Han, Rui-Qi
  • Li, Ming-Xia
  • Chen, Wei
  • Zhou, Wei-Xing
  • Stanley, H. Eugene

Abstract

We construct the empirical information network (EIN) of traders using the order flow data of the constituent stocks of SZSE 100 Index in 2013. A statistical validation method is applied to the edges of the network to filter out noises and uncover the intrinsic interaction behaviors of traders. We investigate the correlation between topological structures and statistical properties for their largest connected components. We find that the statistical validated network shows an assortative mixing pattern while the original network exhibits a disassortative mixing pattern. We consider two definitions of edge weight for comparison but there is no significant difference in a same network. We also analyze the mutual relationships among node degree, edge weight and node strength.

Suggested Citation

  • Han, Rui-Qi & Li, Ming-Xia & Chen, Wei & Zhou, Wei-Xing & Stanley, H. Eugene, 2019. "Structural properties of statistically validated empirical information networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 747-756.
    • Handle: RePEc:eee:phsmap:v:523:y:2019:i:c:p:747-756
    DOI: 10.1016/j.physa.2019.03.010
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    References listed on IDEAS

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