Structural properties of statistically validated empirical information networks

Rui-Qi Han, Ming-Xia Li, Wei Chen, Wei-Xing Zhou and H. Eugene Stanley

Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 747-756

Abstract: We construct the empirical information network (EIN) of traders using the order flow data of the constituent stocks of SZSE 100 Index in 2013. A statistical validation method is applied to the edges of the network to filter out noises and uncover the intrinsic interaction behaviors of traders. We investigate the correlation between topological structures and statistical properties for their largest connected components. We find that the statistical validated network shows an assortative mixing pattern while the original network exhibits a disassortative mixing pattern. We consider two definitions of edge weight for comparison but there is no significant difference in a same network. We also analyze the mutual relationships among node degree, edge weight and node strength.

Keywords: Econophysics; Empirical information network; Statistically validated networks; Mixing patterns; Trading behavior (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:747-756

DOI: 10.1016/j.physa.2019.03.010

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