Trading networks

In this paper, we analyse the time series of 12,000+ networks of traders in the E-mini S&P 500 stock index futures contract and we empirically link network variables with financial variables more commonly used to describe market conditions. We show that network variables lead trading volume, int...

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Bibliographic Details
Published in:The econometrics journal 2017-10, Vol.20 (3), p.S126-S149
Main Authors: Adamic, Lada, Brunetti, Celso, Harris, Jeffrey H., Kirilenko, Andrei
Format: Article
Language:English
Subjects:
Asymmetric information
Causality
Feedback
Financial forecasting and simulation
Markets
Network formation and analysis
Networks
Stock index futures
Time series
Trading
Trading volume
Variables
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