Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10140562 | Physica A: Statistical Mechanics and its Applications | 2019 | 16 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Fa-Bin Shi, Xiao-Qian Sun, Hua-Wei Shen, Xue-Qi Cheng,