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https://hdl.handle.net/20.500.14094/90005096
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2024-04-19
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90005096 (fulltext)
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メタデータID
90005096
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open access
出版タイプ
Version of Record
タイトル
Extracting the multi-timescale activity patterns of online financial markets
著者
Kobayashi, Teruyoshi ; Sapienza, Anna ; Ferrara, Emilio
著者ID
A0652
研究者ID
1000010387607
KUID
https://kuid-rm-web.ofc.kobe-u.ac.jp/search/detail?systemId=c58fb9511897c187520e17560c007669
著者名
Kobayashi, Teruyoshi
小林, 照義
コバヤシ, テルヨシ
所属機関名
経済学研究科
著者名
Sapienza, Anna
著者名
Ferrara, Emilio
収録物名
Scientific Reports
巻(号)
8
ページ
11184-11184
出版者
Nature Publishing Group
刊行日
2018-07-25
公開日
2018-08-06
抄録
Online financial markets can be represented as complex systems where trading dynamics can be captured and characterized at different resolutions and time scales. In this work, we develop a methodology based on non-negative tensor factorization (NTF) aimed at extracting and revealing the multi-timescale trading dynamics governing online financial systems. We demonstrate the advantage of our strategy first using synthetic data, and then on real-world data capturing all interbank transactions (over a million) occurred in an Italian online financial market (e-MID) between 2001 and 2015. Our results demonstrate how NTF can uncover hidden activity patterns that characterize groups of banks exhibiting different trading strategies (normal vs. early vs. flash trading, etc.). We further illustrate how our methodology can reveal "crisis modalities" in trading triggered by endogenous and exogenous system shocks: as an example, we reveal and characterize trading anomalies in the midst of the 2008 financial crisis.
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経済学研究科
学術雑誌論文
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© The Author(s) 2018.
This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/.
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資源タイプ
journal article
言語
English (英語)
eISSN
2045-2322
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関連情報
DOI
https://doi.org/10.1038/s41598-018-29537-w
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