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摘要翻译：
期货交易是期货业务的核心，被认为是典型的复杂系统之一。为了研究期货交易的复杂性，我们采用了复杂网络的分析方法。首先，我们利用上海期货交易所的真实交易记录构建了期货交易网络，其中节点是交易参与者，当两个对应的投资者分别以买方和卖方的身份同时出现在至少一个交易记录中时，两个节点具有共同的优势。然后，我们对构建的期货交易网络进行了全面的统计分析。实证结果表明，期货交易网络表现出以下特征：无标度行为、小世界效应、层次化组织、幂律中间分布、不匹配混合以及平均路径长度和直径随网络规模的增大而收缩。据我们所知，这是第一个利用真实数据研究期货交易网络的工作，我们认为研究结果可以揭示真实期货交易的本质。
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英文标题：
《Characteristics of Real Futures Trading Networks》
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作者：
Junjie Wang, Shuigeng Zhou, Jihong Guan
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Statistical Mechanics 统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/1004.4402
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