Detect colluded stock manipulation via clique in trading network

doi:10.1016/j.physa.2018.09.011

CORC > 计算技术研究所 > 中国科学院计算技术研究所 > 中国科学院计算技术研究所期刊论文 > 英文

	Detect colluded stock manipulation via clique in trading network
	Shen, Hua-Wei 2,3; Cheng, Xue-Qi 2,3; Sun, Xiao-Qian 1,3; Shi, Fa-Bin 2,3
刊名	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
	2019
卷号	513 页码:565-571
关键词	Colluded manipulation Clique Trading network Manipulation detection
ISSN号	0378-4371
DOI	10.1016/j.physa.2018.09.011
英文摘要	Market manipulation is one of the important issues that draw much attention from academia and industry. Many efforts have been made to detect manipulation in stock market. However, with the development of technology, the means of manipulation become more and more diversified and the effective detection methods remain to be an open problem. Here, we develop a generalized method for colluded traders detection based on transaction data. We investigate the clique of trading network, and find the number and weight of clique are greater in manipulated stocks than that in non-manipulated stocks. We further propose a method to detect colluded traders based on weight of cliques. Results demonstrate that our method is effective at distinguishing the manipulated stocks and the colluded traders. (C) 2018 Published by Elsevier B.V.
资助项目	National Basic Research Program of China (973 Program)[2014CB340401] ; National Natural Science Foundation of China[91746301] ; National Natural Science Foundation of China[61802370] ; National Natural Science Foundation of China[61425016] ; National Natural Science Foundation of China[61472400] ; Open Project Funding of Collaborative Innovation Center for Economics crime investigation and prevention technology, China[JXJZXTCX-010]
WOS研究方向	Physics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000448496200051
内容类型	期刊论文
源URL	[http://119.78.100.204/handle/2XEOYT63/3635]
专题	中国科学院计算技术研究所期刊论文_英文
通讯作者	Sun, Xiao-Qian
作者单位	1.Collaborat Innovat Ctr Econ Crime Invest & Preven, Nanjing, Jiangxi, Peoples R China 2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 3.Chinese Acad Sci, Inst Comp Technol, CAS Key Lab Network Data Sci & Technol, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Shen, Hua-Wei,Cheng, Xue-Qi,Sun, Xiao-Qian,et al. Detect colluded stock manipulation via clique in trading network[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2019,513:565-571.
APA	Shen, Hua-Wei,Cheng, Xue-Qi,Sun, Xiao-Qian,&Shi, Fa-Bin.(2019).Detect colluded stock manipulation via clique in trading network.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,513,565-571.
MLA	Shen, Hua-Wei,et al."Detect colluded stock manipulation via clique in trading network".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 513(2019):565-571.