Characteristics of Real Futures Trading Networks
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.
|Date of creation:||Apr 2010|
|Date of revision:||Feb 2011|
|Publication status:||Published in Physica A, Volume 390, Issue 2, 15 January 2011, Pages 398-409|
|Contact details of provider:|| Web page: http://arxiv.org/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stefano Battiston & Joao F. Rodrigues & Hamza Zeytinoglu, 2007.
"The Network Of Inter-Regional Direct Investment Stocks Across Europe,"
Advances in Complex Systems (ACS),
World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 29-51.
- Stefano Battiston & Jo\~ao F. Rodrigues & Hamza Zeytinoglu, 2005. "The Network of Inter-Regional Direct Investment Stocks across Europe," Papers physics/0508206, arXiv.org.
- Zhou, Shuigeng & Hu, Guobiao & Zhang, Zhongzhi & Guan, Jihong, 2008. "An empirical study of Chinese language networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 3039-3047.
- S. C. Wang & J. J. Tseng & C. C. Tai & K. H. Lai & W. S. Wu & S. H. Chen & S. P. Li, 2008. "Network topology of an experimental futures exchange," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 62(1), pages 105-111, 03.
- S. C. Wang & J. J. Tseng & C. C. Tai & K. H. Lai & W. S. Wu & S. H. Chen & S. P. Li, 2007. "Network Topology of an Experimental Futures Exchange," Papers 0705.2551, arXiv.org.
- Fu, Feng & Liu, Lianghuan & Wang, Long, 2008. "Empirical analysis of online social networks in the age of Web 2.0," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 675-684.
- S. M.G. Caldeira & T. C. Petit Lobão & R. F.S. Andrade & A. Neme & J. G.V. Miranda, 2006. "The network of concepts in written texts," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 49(4), pages 523-529, 02. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1004.4402. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.