Statistical properties of trading activity in Chinese Stock Market

被引：6
|
作者：
Sun, Xiaoqian [1 ]
Cheng, Xueqi [1 ]
Shen, Huawei [1 ]
Wang, Zhaoyang [1 ]
机构：
[1] Chinese Acad Sci, Inst Comp Technol, Beijing, Peoples R China
来源：
INTERNATIONAL CONFERENCE ON COMPLEXITY AND INTERDISCIPLINARY SCIENCES: 3RD CHINA-EUROPE SUMMER SCHOOL ON COMPLEXITY SCIENCES | 2010年 / 3卷 / 05期
关键词：
stock market; trading activity; manipulation detection; PRICE FLUCTUATIONS; MULTIFRACTAL PROPERTIES;
D O I：
10.1016/j.phpro.2010.07.008
中图分类号：
O59 [应用物理学];
学科分类号：
摘要：
We investigate the statistical properties of traders' trading behavior using cumulative distribution function(CDF). We analyze exchange data of 52 stocks for one-year period which contains non-manipulated stocks and manipulated stocks published by China Securities Regulatory Commission(CSRC). By analyzing the total number of transactions and the trading volume of each trader over a year, we find the cumulative distributions have power-law tails and the distributions between non-manipulated stocks and manipulated stocks are different. These findings can help us to detect the manipulated stocks. (C) 2010 Published by Elsevier Ltd
引用
收藏
页码：1699 / 1706
页数：8
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