Detect colluded stock manipulation via clique in trading network

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 detect...

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Bibliographic Details
Published in:Physica A 2019-01, Vol.513, p.565-571
Main Authors: Shi, Fa-Bin, Sun, Xiao-Qian, Shen, Hua-Wei, Cheng, Xue-Qi
Format: Article
Language:English
Subjects:
Clique
Colluded manipulation
Manipulation detection
Trading network
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Summary: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. •We performed an investigation of the clique in stock trading network.•The clique structure in manipulated stock is clear different.•We propose a method to detect the colluded traders based on cliques.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2018.09.011