Extracting the multi-timescale activity patterns of online financial markets.

Abstract:

: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.

journal_name

Sci Rep

journal_title

Scientific reports

authors

Kobayashi T,Sapienza A,Ferrara E

doi

10.1038/s41598-018-29537-w

subject

Has Abstract

pub_date

2018-07-25 00:00:00

pages

11184

issue

1

issn

2045-2322

pii

10.1038/s41598-018-29537-w

journal_volume

8

pub_type

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