unveiling correlations between financial variables and topological metrics of trading networks -- evidence from a stock and its warrant

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1、Unveilingcorrelationsbetweenfinancialvariablesandtopologicalmetricsoftradingnetworks:EvidencefromastockanditswarrantMing-XiaLia,b,c,Zhi-QiangJianga,b,Wen-JieXiea,b,c,XiongXiongd,e,WeiZhangd,e,∗,Wei-XingZhoua,b,c,∗aSchoolofBusiness,EastChinaUniversityofScienceandTechn

2、ology,Shanghai200237,ChinabResearchCenterforEconophysics,EastChinaUniversityofScienceandTechnology,Shanghai200237,ChinacDepartmentofMathematics,EastChinaUniversityofScienceandTechnology,Shanghai200237,ChinadCollegeofManagementandEconomics,TianjinUniversity,Tianjin30

3、0072,ChinaeChinaCenterforSocialComputingandAnalytics,TianjinUniversity,Tianjin300072,ChinaAbstractTradersadoptdifferenttradingstrategiestomaximizetheirreturnsinfinancialmarkets.Thesetradingstrategiesnotonlyresultsinspecifictopologicalstructuresintradingnetworks,whichco

4、nnectthetraderswiththepairwisebuy-sellrelationships,butalsohavepotentialimpactsonmarketdynamics.Here,wepresentadetailedanalysisonhowthemarketbehaviorsarecorrelatedwiththestructuresoftradersintradingnetworksbasedonaudittraildatafortheBaosteelstockanditswarrantatthetr

5、ansactionlevelfrom22August2005to23August2006.Inourinvestigation,wedivideeachtradedayinto48timewindowswithalengthoffiveminutes,constructatradingnetworkwithineachwindow,andobtainatimeseriesofover1,100tradingnetworks.Wefindthattherearestronglysimultaneouscorrelationsbetw

6、eenthetopologicalmetrics(includingnetworkcentralization,assortativeindex,andaveragepathlength)oftradingnetworksthatcharacterizethepatternsoforderexecutionandthefinancialvariables(includingreturn,volatility,intertradeduration,andtradingvolume)forthestockanditswarrant.

7、Ouranalysismayshednewlightsonhowthemicroscopicinteractionsbetweenelementswithincomplexsystemaffectthesystem'sperformance.JELclassification:G10,C14Keywords:Tradingnetwork;Orderflow;Correlation1.IntroductionTradingnetworksprovideanoverallperspectivetodescribethedetailedt

8、ransactionsbetweenpairwisetraders,whichcanbeTradingnetworks,inwhichthenodesrepresentthetradersappliedtofindcluesandproposeapproachestotrack