کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975973 933065 2011 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Characteristics of real futures trading networks
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Characteristics of real futures trading networks
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 390, Issue 2, 15 January 2011, Pages 398–409
نویسندگان
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