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Detect colluded stock manipulation via clique in trading network

Fa-Bin Shi, Xiao-Qian Sun, Hua-Wei Shen and Xue-Qi Cheng

Physica A: Statistical Mechanics and its Applications, 2019, vol. 513, issue C, 565-571

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: Colluded manipulation; Clique; Trading network; Manipulation detection (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:phsmap:v:513:y:2019:i:c:p:565-571