揭示金融变量和拓扑结构之间的相关性

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英文标题：
《Unveiling correlations between financial variables and topological
  metrics of trading networks: Evidence from a stock and its warrant》
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作者：
Ming-Xia Li (ECUST), Zhi-Qiang Jiang (ECUST), Wen-Jie Xie (ECUST),
  Xiong Xiong (TJU), Wei Zhang (TJU), Wei-Xing Zhou (ECUST)
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最新提交年份：
2013
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英文摘要：
  Traders adopt different trading strategies to maximize their returns in financial markets. These trading strategies not only results in specific topological structures in trading networks, which connect the traders with the pairwise buy-sell relationships, but also have potential impacts on market dynamics. Here, we present a detailed analysis on how the market behaviors are correlated with the structures of traders in trading networks based on audit trail data for the Baosteel stock and its warrant at the transaction level from 22 August 2005 to 23 August 2006. In our investigation, we divide each trade day into 48 time windows with a length of five minutes, construct a trading network within each window, and obtain a time series of over 1,100 trading networks. We find that there are strongly simultaneous correlations between the topological metrics (including network centralization, assortative index, and average path length) of trading networks that characterize the patterns of order execution and the financial variables (including return, volatility, intertrade duration, and trading volume) for the stock and its warrant. Our analysis may shed new lights on how the microscopic interactions between elements within complex system affect the system\'s performance.
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中文摘要：
交易者采用不同的交易策略，以在金融市场上实现最大回报。这些交易策略不仅在交易网络中产生特定的拓扑结构，将交易者与成对买卖关系联系起来，而且对市场动态也有潜在的影响。在此，我们基于2005年8月22日至2006年8月23日宝钢股票及其权证交易层面的审计跟踪数据，详细分析了市场行为与交易网络中交易者结构的关系。在我们的调查中，我们将每个交易日划分为48个时间窗口，长度为5分钟，在每个窗口内构建一个交易网络，并获得1100多个交易网络的时间序列。我们发现，表征订单执行模式的交易网络拓扑指标（包括网络集中度、分类指数和平均路径长度）与股票及其权证的财务变量（包括收益率、波动率、交易持续时间和交易量）之间存在强同步相关性。我们的分析可能会为复杂系统中元素之间的微观相互作用如何影响系统性能提供新的线索。
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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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