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Jihong Guan

  1. Detecting Collusive Cliques in Futures Markets Based on Trading Behaviors from Real Data.

    Пнд, 10/10/2011 - 15:01 — SomNambul
    Authors: Junjie Wang, Shuigeng Zhou, Jihong Guan
    Subjects: Trading and Market Microstructure
    Abstract

    In financial markets, abnormal trading behaviors pose a serious challenge to
    market surveillance and risk management. What is worse, there is an increasing
    emergence of abnormal trading events that some experienced traders constitute a
    collusive clique and collaborate to manipulate some instruments, thus mislead
    other investors by applying similar trading behaviors for maximizing their
    personal benefits.

  2. Characteristics of Real Futures Trading Networks.

    Втр, 03/01/2011 - 16:01 — SomNambul
    Authors: Junjie Wang, Shuigeng Zhou, Jihong Guan
    Subjects: Statistical Finance
    Abstract

    Futures trading is the core of futures business, and it is considered as one
    of the typical complex systems. To investigate the complexity of futures
    trading, we employ the analytical method of complex networks. First, we use
    real trading records from the Shanghai Futures Exchange to construct futures
    trading networks, in which nodes are trading participants, and two nodes have a
    common edge if the two corresponding investors appear simultaneously in at
    least one trading record as a purchaser and a seller respectively.

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