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

页码：1699 / 1706

页数：8

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