Title variants
Languages of publication
Abstracts
This article presents a network algorithm for identifying transactions which may constitute a violation of restricted periods, namely, making transactions in company shares by persons possessing inside information. The empirical research was performed on the basis of publicly available information on exchange trading, originating from the Warsaw Stock Exchange. The analysis is based on a numerical model which describes information spreading in a network with an information bottleneck. The applied method can confirm with high probability the use of inside information for carrying out unauthorized stock market transactions.
Discipline
- 89.65.-s: Social and economic systems
- 89.75.-k: Complex systems(for complex chemical systems, see 82.40.Qt; for biological complexity, see 87.18.-h)
- 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
- 05.65.+b: Self-organized systems(see also 45.70.-n in classical mechanics of discrete systems)
Journal
Year
Volume
Issue
Pages
980-985
Physical description
Dates
published
2016-05
Contributors
author
- Institute of Economics, Polish Academy of Sciences, Palace of Culture and Science, pl. Defilad 1, PL-00901 Warsaw, Poland
author
- Institute of Economics, Polish Academy of Sciences, Palace of Culture and Science, pl. Defilad 1, PL-00901 Warsaw, Poland
References
- [1] G.A. Akerlof, Quart. J. Econ. 84, 488 (1970), doi: 10.2307/1879431
- [2] B. Holmström, Bell J. Econ. 10, 74 (1979), doi: 10.2307/3003320
- [3] F.J. Fabozzi, F. Modigliani, M.G. Ferri, Foundations of Financial Markets and Institutions, Prentice Hall, Englewood Cliffs 1994
- [4] E.F. Fama, J. Fin. 25, 383 (1970), doi: 10.2307/2325486
- [5] S.J. Grossman, J.E. Stiglitz, Am. Econ. Rev. 70, 393 (1980) http://jstor.org/stable/1805228
- [6] R.J. Shiller, Am. Econ. Rev. 71, 421 (1981) http://jstor.org/stable/1802789
- [7] G.D. Saxton, A.E. Anker, J. Commun. 63, 1054 (2013), doi: 10.1111/jcom.12060
- [8] Polish Financial Supervision Authority, Kary nałożone przez KNF, November 11 (2014) (in Polish) http://bip.knf.gov.pl/?l=/Komisja/050_Kary/kary.html
- [9] S. Milgram, Psychol. Today 1, 61 (1967), doi: 10.1037/e400002009-005
- [10] J. Travers, S. Milgram, Sociometry 32, 425 (1969), doi: 10.2307/2786545
- [11] D.J. Watts, S.H. Strogatz, Nature 393, 440 (1998), doi: 10.1038/30918
- [12] A. Fronczak, P. Fronczak, The World of Complex Networks. From Physics to the Internet, Wydawnictwo Naukowe PWN, Warszawa 2009 (in Polish)
- [13] A.C.R. Martins, C. de B. Pereira, R. Vicente, Physica A 388, 3225 (2009), doi: 10.1016/j.physa.2009.04.007
- [14] GPWInfoStrefa, archiwum notowań, (in Polish) http://gpwinfostrefa.pl/GPWIS2/pl/quotes/archive/1
- [15] H. Chen, in: Digital Libraries: People, Knowledge, and Technology, Eds. E.-P. Lim, S. Foo, C. Khoo, H. Chen, E. Fox, S. Urs, C. Thanos, Springer-Verlag, Berlin 2002, p. 36, doi: 10.1007/3-540-36227-4
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv129n516kz