文献类型：期刊文献

英文题名：Quantifying immediate price impact of trades based on the k-shell decomposition of stock trading networks

作者：Xie, Wen-Jie[1,2,3];Li, Ming-Xia[2,3,4];Xu, Hai-Chuan[1,2,3];Chen, Wei[5];Zhou, Wei-Xing[1,3,6];Stanley, H. Eugene[7,8]

机构：[1]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Postdoctoral Res Stn, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]East China Univ Sci & Technol, Sch Sports Sci & Engn, Shanghai 200237, Peoples R China;[5]Shenzhen Stock Exchange, 5045 Shennan East Rd, Shenzhen 518010, Peoples R China;[6]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China;[7]Boston Univ, Dept Phys, Boston, MA 02215 USA;[8]Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA

年份：2016

卷号：116

期号：2

外文期刊名：EPL

收录：;WOS:【SSCI(收录号:WOS:000390950300027)，SCI-EXPANDED(收录号:WOS:000390950300027)】；

基金：This work is supported by the National Natural Science Foundation of China (71571121, 71501072, 71131007), the Postdoctoral Science Foundation of China (2015M571502, 2015M570342), and the Fundamental Research Funds for the Central Universities.

语种：英文

摘要：Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into k classes using the k-shell decomposition method. We investigate the influences of trading behaviors on the price impact by comparing a closed national market (A-shares) with an international market (B-shares), individuals and institutions, partially filled and filled trades, buyer-initiated and seller-initiated trades, and trades at different positions of a trading network. Institutional traders professionally use some trading strategies to reduce the price impact and individuals at the same positions in the trading network have a higher price impact than institutions. We also find that trades in the core have higher price impacts than those in the peripheral shell. Copyright (C) EPLA, 2016