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Statistical properties of trading activity in Chinese stock market

✍ Scribed by Xiaoqian Sun; Xueqi Cheng; Huawei Shen; Zhaoyang Wang

Publisher
Elsevier
Year
2010
Tongue
English
Weight
766 KB
Volume
3
Category
Article
ISSN
1875-3892

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✦ Synopsis

We investigate the statistical properties of traders' trading behavior using cumulative distribution function (CDF). We analyze exchange data of 52 stocks for one-year period which contains non-manipulated stocks and manipulated stocks published by China Securities Regulatory Commission(CSRC). By analyzing the total number of transactions and the trading volume of each trader over a year, we find the cumulative distributions have power-law tails and the distributions between non-manipulated stocks and manipulated stocks are different. These findings can help us to detect the manipulated stocks.

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