Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks

Wen-Jie Xie, Ming-Xia Li, Hai-Chuan Xu, Wei Chen, Wei-Xing Zhou and H. E. Stanley
Additional contact information
Wen-Jie Xie: ECUST
Ming-Xia Li: ECUST
Hai-Chuan Xu: ECUST
Wei Chen: SZSE
H. E. Stanley: BU

Papers from arXiv.org

Abstract: Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into $k$ classes using the $k$-shell decomposition method. We investigate the influences of trading behaviors on the price impact by comparing a closed national market (A-shares) with an international market (B-shares), individuals and institutions, partially filled and filled trades, buyer-initiated and seller-initiated trades, and trades at different positions of a trading network. Institutional traders professionally use some trading strategies to reduce the price impact and individuals at the same positions in the trading network have a higher price impact than institutions. We also find that trades in the core have higher price impacts than those in the peripheral shell.

Date: 2016-11, Revised 2016-12
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (8)

Published in EPL,116 (2016) 28006

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