文献类型：期刊文献

英文题名：Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

作者：Li, Ming-Xia[1,2,3];Jiang, Zhi-Qiang[2,3];Xie, Wen-Jie[1,2,3];Xiong, Xiong[4,5];Zhang, Wei[4,5];Zhou, Wei-Xing[1,2,3]

机构：[1]E China Univ Sci & Technol, Sch Sci, Dept Math, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[5]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China

年份：2015

卷号：419

起止页码：575

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20144700214489);WOS:【SSCI(收录号:WOS:000347017300061)，SCI-EXPANDED(收录号:WOS:000347017300061)】；

基金：This work was partially supported by the National Natural Science Foundation of China (11075054, 71101052 and 71131007), the Shanghai "Chen Guang" Project (2012CG34), the Shanghai Rising Star (Follow-up) Program (11QH1400800), the Program for Changjiang Scholars and Innovative Research Team in University (IRT1028), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; Trading network; Order flow; Correlation; Stock; Warrant

摘要：Traders develop and adopt different trading strategies attempting to maximize their profits in financial markets. These trading strategies not only result 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 rolling time windows with a length of 5 mm, construct a trading network within each window, and obtain a time series of over 11,600 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. (C) 2014 Elsevier B.V. All rights reserved.