Complex stock trading network among investors

We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange during the whole year of 2003. By reconstructing the limit order book, we can extract detailed information of each executed order for each trading day and demonstrate that the trade size distributions for different trading days exhibit power-law tails and that most of the estimated power-law exponents are well within the Lévy stable regime. Based on the records of order matching among investors, we can construct a stock trading network for each trading day, in which the investors are mapped into nodes and each transaction is translated as a direct edge from the seller to the buyer with the trade size as its weight. We find that all the trading networks comprise a giant component and have power-law degree distributions and disassortative architectures. In particular, the degrees are correlated with order sizes by a power-law function. By regarding the size of executed order as its fitness, the fitness model can reproduce the empirical power-law degree distribution.     

Crowded Trades,Market Clustering,and Price Instability

Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock, the clustering measure captures the degree of trading overlap among any two investors in that stock, based on a comparison with the expected crowding in a null model where trades are maximally random while still respecting the empirical heterogeneity of both stocks and investors. We investigate the effect of crowded trades on stock price stability and present evidence that market clustering has a causal effect on the properties of the tails of the stock return distribution, particularly the positive tail, even after controlling for commonly considered risk drivers. Reduced investor pool diversity could thus negatively affect stock price stability.     

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.     

Scale-free network growth by ranking

Network growth is currently explained through mechanisms that rely on node prestige measures, such as degree or fitness. In many real networks, those who create and connect nodes do not know the prestige values of existing nodes but only their ranking by prestige. We propose a criterion of network growth that explicitly relies on the ranking of the nodes according to any prestige measure, be it topological or not. The resulting network has a scale-free degree distribution when the probability to link a target node is any power-law function of its rank, even when one has only partial information of node ranks. Our criterion may explain the frequency and robustness of scale-free degree distributions in real networks, as illustrated by the special case of the Web graph.     

一类高聚类系数的加权无标度网络及其同步能力分析

针对真实世界中大规模网络都具有明显聚类效应的特点, 提出一类具有高聚类系数的加权无标度网络演化模型, 该模型同时考虑了优先连接、三角结构、随机连接和社团结构等四种演化机制. 在模型演化规则中, 以概率p增加单个节点, 以概率1–p增加一个社团. 与以往研究的不同在于新边的建立, 以概率φ在旧节点之间进行三角连接, 以概率1–φ进行随机连接. 仿真分析表明, 所提出的网络度、强度和权值分布都是服从幂律分布的形式, 且具有高聚类系数的特性, 聚类系数的提高与社团结构和随机连接机制有直接的关系. 最后通过数值仿真分析了网络演化机制对同步动态特性的影响, 数值仿真结果表明, 网络的平均聚类系数越小, 网络的同步能力越强. 关键词： 无标度网络 加权网络 聚类系数 同步能力     

一种能耗均衡的无线传感器网络加权无标度拓扑研究

针对无线传感器网络节点能耗不均衡问题,通过对节点生命期建模,得出节点生命期受节点剩余能量和通信距离的影响,进而将两端节点生命期作为构建拓扑时边权重的影响因子,通过边权重控制节点权重,最终得出了一种能耗均衡的无线传感器网络加权无标度拓扑模型,并理论证明了该模型的点权、边权和节点度均服从幂律分布.实验结果表明,该模型具有无标度拓扑的强容错性,并有效的均衡了网络中的节点能耗,延长了网络的生命期.     

一种基于文本互信息的金融复杂网络模型

复杂网络能够解决许多金融问题,能够发现金融市场的拓扑结构特征,反映不同金融主体之间的相互依赖关系.相关性度量在金融复杂网络构建中至关重要.通过将多元金融时间序列符号化,借鉴文本特征提取以及信息论的方法,定义了一种基于文本互信息的相关系数.为检验方法的有效性,分别构建了基于不同相关系数(Pearson和文本互信息)和不同网络缩减方法(阈值和最小生成树)的4个金融复杂网络模型.在阈值网络中提出了使用分位数来确定阈值的方法,将相关系数6等分,取第4部分的中点作为阈值,此时基于Pearson和文本互信息的阈值模型将会有相近的边数,有利于这两种模型的对比.数据使用了沪深两地证券市场地区指数收盘价,时间从2006年1月4日至2016年12月30日,共计2673个交易日.从网络节点相关性看,基于文本互信息的方法能够体现出大约20%的非线性相关关系;在网络整体拓扑指标上,本文计算了4种指标,结果显示能够使所保留的节点联系更为紧密,有效提高保留节点的重要性以及挖掘出更好的社区结构;最后,计算了阈值网络的动态指标,将数据按年分别构建网络,缩减方法只用了阈值方法,结果显示本文提出的方法在小世界动态和网络度中心性等指标上能够成功捕捉到样本区间内存在的两次异常波动.此外,本文构建的地区金融网络具有服从幂律分布、动态稳定性、一些经济欠发达地区在金融地区网络中占据重要地位等特性.     

Network formation in a multi-asset artificial stock market

A multi-asset artificial stock market is developed. In the market, stocks are assigned to a number of sectors and traded by heterogeneous investors. The mechanism of continuous double auction is employed to clear order book and form daily closed prices. Simulation results of prices at the sector level show an intra-sector similarity and inter-sector distinctiveness, and returns of individual stocks have stylized facts that are ubiquitous in the real-world stock market. We find that the market risk factor has critical impact on both network topology transition and connection formation, and that sector risk factors account for the formation of intra-sector links and sector-based local interaction. In addition, the number of community in threshold-based networks is correlated negatively and positively with the value of correlation coefficients and the ratio of intra-sector links, which are respectively determined by intensity of sector risk factors and the number of sectors.     

A study of the interplay between the structure variation and fluctuations of the Shanghai stock market

The intricate interplay between the variation of the stock network structure and fluctuations of that stock market is increasingly becoming a hot topic. In this work, employing a moving window to scan through every stock price time series over a period from 2 January 2001 to 7 December 2010, we use mutual information to measure the statistical interdependence between stock prices, and we construct a corresponding network for 501 Shanghai stocks in every given window. Then we address the time-varying relationships between the structure variation and fluctuations for the Shanghai stock market. All the results obtained here indicate that at turning points the growing independence of stocks causes the scalefreeness of the degree distribution to be disrupted, and that the Shanghai stock index has little volatility clustering. In contrast, under normality of the market, the stock networks have characteristics of scalefree degree distribution. Furthermore, the degree of volatility clustering is a little higher.     

微博双向“关注”网络节点中心性及传播 影响力的分析

根据新浪微博的实际数据, 建立了两个基于双向“关注”的用户关系网络, 通过分析网络拓扑统计特征, 发现二者均具有小世界、无标度特征. 通过对节点度、紧密度、介数和k-core 四个网络中心性指标进行实证分析, 发现节点度服从分段幂率分布; 介数相比其他中心性指标差异性最为显著; 两个网络均具有明显的层次性, 但不是所有度值大的节点核数也大; 全局范围内各中心性指标之间存在着较强的相关性, 但在度值较大的节点群这种相关性明显减弱. 此外, 借助基于传染病动力学的SIR信息传播模型来分析四种指标在刻画节点传播能力方面的差异性, 仿真结果表明, 选择具有不同中心性指标的初始传播节点, 对信息传播速度和范围均具有不同影响; 紧密度和k-core较其他指标可以更加准确地描述节点在信息传播中所处的网络核心位置, 这有助于识别信息传播拓扑网络中的关键节点.     

Degree and wealth distribution in a network induced by wealth

A network induced by wealth is a social network model in which wealth induces individuals to participate as nodes, and every node in the network produces and accumulates wealth utilizing its links. More specifically, at every time step a new node is added to the network, and a link is created between one of the existing nodes and the new node. Innate wealth-producing ability is randomly assigned to every new node, and the node to be connected to the new node is chosen randomly, with odds proportional to the accumulated wealth of each existing node. Analyzing this network using the mean value and continuous flow approaches, we derive a relation between the conditional expectations of the degree and the accumulated wealth of each node. From this relation, we show that the degree distribution of the network induced by wealth is scale-free. We also show that the wealth distribution has a power-law tail and satisfies the 80/20 rule. We also show that, over the whole range, the cumulative wealth distribution exhibits the same topological characteristics as the wealth distributions of several networks based on the Bouchaud-Mèzard model, even though the mechanism for producing wealth is quite different in our model. Further, we show that the cumulative wealth distribution for the poor and middle class seems likely to follow by a log-normal distribution, while for the richest, the cumulative wealth distribution has a power-law behavior.     

Dependence structure of the commodity and stock markets,and relevant multi-spread strategy

Understanding the dependence structure between the commodity and stock markets is a crucial issue in constructing a portfolio. It can also help us to discover new opportunities to implement spread trading using multiple assets classified in the two different markets. This study analyzed the dependence structure of the commodity and stock markets using the random matrix theory technique and network analysis. Our results show that the stock and commodity markets must be handled as completely separated asset classes except for the oil and gold markets, so the performance enhancement of the mean-variance portfolio is significant as expected. In light of the fact that WTI 1 month futures and four oil-related stocks are strongly correlated, they were selected as basic ingredients to complement the multi-spread convergence trading strategy using a machine learning technique called the AdaBoost algorithm. The performance of this strategy for non-myopic investors, who can endure short-term loss, can be enhanced significantly on a risk measurement basis.     

Impact of degree heterogeneity on the behavior of trapping in Koch networks

Previous work shows that the mean first-passage time (MFPT) for random walks to a given hub node (node with maximum degree) in uncorrelated random scale-free networks is closely related to the exponent γ of power-law degree distribution P(k) ～ k(-γ), which describes the extent of heterogeneity of scale-free network structure. However, extensive empirical research indicates that real networked systems also display ubiquitous degree correlations. In this paper, we address the trapping issue on the Koch networks, which is a special random walk with one trap fixed at a hub node. The Koch networks are power-law with the characteristic exponent γ in the range between 2 and 3, they are either assortative or disassortative. We calculate exactly the MFPT that is the average of first-passage time from all other nodes to the trap. The obtained explicit solution shows that in large networks the MFPT varies lineally with node number N, which is obviously independent of γ and is sharp contrast to the scaling behavior of MFPT observed for uncorrelated random scale-free networks, where γ influences qualitatively the MFPT of trapping problem.     

The emergence of network communities by the action of coevolving market agents

The agent-based multileader model of the stock price dynamics on the directed evolving complex network is studied by direct simulation. The resulting stationary regime follows from the balance of extremal dynamics, adaptivity of the strategic variables, and reconnection rules. For given parametric combination, the network displays small-world phenomenon with high clustering coefficients and power-law node degree distribution. The fitness exploration by the mechanism of repeated random walk is used to violate dominance of centralized leadership. The simulation suggests that ultra slow dynamics of fitness implies explanation of the long-time volatility of the log-price returns. The text was submitted by the authors in English.     

Deterministic factors of stock networks based on cross-correlation in financial market

The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in the market in the formation of stock networks, using the arbitrage pricing model reflecting essential properties of common economic factors. We find that the degree of consistency between real and model stock networks increases as additional common economic factors are incorporated into our model. Furthermore, we find that individual stocks with a large number of links to other stocks in a network are more highly correlated with common economic factors than those with a small number of links. This suggests that common economic factors in the stock market can be understood in terms of deterministic factors.     

一种信息传播促进网络增长的网络演化模型

为了研究信息传播过程对复杂网络结构演化的影响,提出了一种信息传播促进网络增长的网络演化模型,模型包括信息传播促进网内增边、新节点通过局域世界建立第一条边和信息传播促进新节点连边三个阶段,通过多次自回避随机游走模拟信息传播过程,节点根据路径节点的节点度和距离与其选择性建立连接。理论分析和仿真实验表明,模型不仅具有小世界和无标度特性,而且不同参数下具有漂移幂律分布、广延指数分布等分布特性,呈现小变量饱和、指数截断等非幂律现象,同时,模型可在不改变度分布的情况下调节集聚系数,并能够产生从同配到异配具有不同匹配模式的网络.     

基于复杂网络理论的北京公交网络拓扑性质分析

为分析公交复杂网络的拓扑性质, 本文以北京市为例, 选取截止到2010年7月的北京全市(14区、2县)的1165条公交线路和9618个公交站点为样本数据, 运用复杂网络理论构建起基于邻接站点的有向加权复杂网络模型. 该方法以公交站点作为节点, 相邻站点之间的公交线路作为边, 使得网络既具有复杂网络的拓扑性质同时节点(站点)又具有明确的地理坐标. 对网络中节点度、点强度、强度分布、平均最短路径、聚类系数等性质的分析显示, 公交复杂网络的度和点强度分布极为不均, 网络中前5%和前10%节点的累计强度分布分别达到22.43%和43.02%; 点强度与排列序数、累积强度分布都服从幂律分布, 具有无标度和小世界的网络特点, 少数关键节点在网络中发挥着重要的连接作用. 为分析复杂网络中的关键节点, 本文通过承载压力分析和基于"掠夺" 的区域中心节点提取两种方法, 得到了公交复杂网络中两类不同表现的关键节点. 这些规律也为优化城市公交网络及交通规划发展提供了新的参考建议.     

Power-law distribution of gene expression fluctuations

Large-scale genomic technologies has opened new possibilities to infer gene regulatory networks from time series data. Here, we investigate the relationship between the dynamic information of gene expression in time series and the underlying network structure. First, our results show that the distribution of gene expression fluctuations (i.e., standard deviation) follows a power-law. This finding indicates that while most genes exhibit a relatively low variation in expression level, a few genes are revealed as highly variable genes. Second, we propose a stochastic model that explains the emergence of this power-law behavior. The model derives a relationship that connects the standard deviation (variance) of each node to its degree. In particular, it allows us to identify a global property of the underlying genetic regulatory network, such as the degree exponent, by only computing dynamic information. This result not only offers an interesting link to explore the topology of real systems without knowing the real structure but also supports earlier findings showing that gene networks may follow a scale-free distribution.     

Modelling of weighted evolving networks with community structures

Many social and biological networks consist of communities–groups of nodes within which links are dense but among which links are sparse. It turns out that most of these networks are best described by weighted networks, whose properties and dynamics depend not only on their structures but also on the link weights among their nodes. Recently, there are considerable interests in the study of properties as well as modelling of such networks with community structures. To our knowledge, however, no study of any weighted network model with such a community structure has been presented in the literature to date. In this paper, we propose a weighted evolving network model with a community structure. The new network model is based on the inner-community and inter-community preferential attachments and preferential strengthening mechanism. Simulation results indicate that this network model indeed reflect the intrinsic community structure, with various power-law distributions of the node degrees, link weights, and node strengths.     

基于Web 2.0的边与节点同时增长网络模型

模拟了Web2.0网络的发展过程并研究其拓扑结构,分析某门户网站实际博客数据的度分布、节点度时间变化,发现与先前的无标度网络模型有所差别.根据真实网络的生长特点,提出了边与节点同时增长的网络模型,包括随机连接及近邻互联的网络构造规则.仿真研究表明,模拟的网络更接近实际,在没有优先连接过程时,模型能得到幂率的度分布;并且网络有更大的聚类系数以及正的度相关性。