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Data Analysis and Knowledge Discovery  2019, Vol. 3 Issue (10): 118-126    DOI: 10.11925/infotech.2096-3467.2019.0192
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Identifying Ultra-short-term Market Manipulation with Stock Intraday Trading Weighted Network
Wenxiu Hu,Li Ma,Jianfeng Zhang()
School of Economics and Management, Xi’an University of Technology, Xi’an 710054, China
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Abstract  

[Objective] This paper proposes a weighted network for stock intraday trading, and selects the main parameters for network features, aiming to identify the ultra-short-term market manipulations. [Methods] We constructed the weighted network for stock intraday trading with tick data, and used the order ID as nodes. The lines of network were the dealing orders, and the weights of line values were actual trading volumes. Analytical software Pajek5.03 and Ucinet6 were used to obtain the statistical parameters of complex networks for the proposed model. [Results] The nine network parameters, such as weighted average degree and network density, can be used as the main parameter to determine the stock manipulation. The overall accuracy values of our model with internal and external samples were 93.58% and 87.73%. [Limitations] We only retrieved the bull market data from 2015, while the bear market data were not collected. [Conclusions] This study helps authorities identify and crack down on the stock trading manipulation.

Key wordsIntraday Trading Weighted Network      Logistic Regression      Stock Trading Manipulation      Discriminating Model     
Received: 21 February 2019      Published: 25 November 2019
ZTFLH:  F832.5  
Corresponding Authors: Jianfeng Zhang     E-mail: 527802384@qq.com

Cite this article:

Wenxiu Hu,Li Ma,Jianfeng Zhang. Identifying Ultra-short-term Market Manipulation with Stock Intraday Trading Weighted Network. Data Analysis and Knowledge Discovery, 2019, 3(10): 118-126.

URL:

http://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/10.11925/infotech.2096-3467.2019.0192     OR     http://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/Y2019/V3/I10/118

变量 样本数 均值 标准差 最小值 最大值
连线数量X2 374 53 426.32 33 981.46 9520 145376
加权平均节点度X3 374 6 264.68 18 360.78 59.84 109 965.70
网络密度X4 374 0.55 0.79 0.08 3.45
网络直径X5 374 196.48 158.64 48 773
加权平均距离X6 374 20.26 15.85 7.55 94.03
最大组元节点个数X8 374 2 768.48 3 024.37 285 13225
最大组元规模X9 374 0.11 0.09 0.01 0.41
岛屿个数X11 374 3 249.61 2 072.37 350 11013
一模网加权平均点度X13 374 34.27 32.98 7.50 151.60
一模网不带环密度X14 374 0.33 0.23 0.05 1.09
一模网加权平均距离X15 374 22.97 17.89 8.69 106.15
网络度数中心势X17 374 0.07 0.11 0.001 0.49
虚拟变量D 374 0.43 0.49 0 1
V Coef. Std. Err. z P>z [95% Conf.Interval]
连线数量X2 -0.000 049 0.000 025 -1.980 0.0 470 -0.00 009 -0.000 001
加权平均节点度X3 -0.000 764 0.000 198 -3.860 0.0 000 -0.00 115 -0.000 376
网络密度X4 0.849 989 0.365 506 2.330 0.0 200 0.13 361 1.566 368
网络直径X5 -0.000 178 0.002 367 -0.080 0.9 400 -0.00 481 0.004 461
加权平均距离X6 -18.44 234 2.742 283 -6.730 0.0 000 -23.8 171 -13.06 756
最大组元节点个数X8 -0.000 156 0.000 247 -0.630 0.5 260 -0.00 064 0.000 327
最大组元规模X9 24.16 735 11.11 035 2.180 0.0 300 2.39 146 45.94 323
岛屿个数X11 0.001 018 0.000 363 2.810 0.0 050 0.00 031 0.001 728
一模网加权平均点度X13 -0.000 660 0.014 903 -0.040 0.9 650 -0.02 987 0.028 550
一模网不带环密度X14 -6.823 294 3.132 357 -2.180 0.0 290 -12.9 626 -0.683 988
一模网加权平均距离X15 16.32 039 2.429 062 6.720 0.0 000 11.5 595 21.08 126
网络度数中心势X17 14.05 585 3.342 419 4.210 0.0 000 7.50 483 20.60 687
虚拟变量D -0.691 979 0.792 088 -0.870 0.3 820 -2.24 444 0.860 486
常数 -0.935 118 0.982 955 -0.950 0.3 410 -2.86 167 0.991 439
样本内检验结果 样本外检验结果
实际值 检验值 准确率(%) 实际值 检验值 准确率(%)
Y Y
1 0 1 0
Y 1 170 15 91.89 Y 91 11 89.22
0 9 180 95.24 16 102 86.44
总体准确率(%) 93.58 总体准确率(%) 87.73
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