Identification of Insider Trading Using Network Numerical Models

• Authors: A. Jakimowicz , A. Baklarz
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

89.65.Gh; 89.65.-s; 05.65.+b; 89.75.-k

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)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2016
• Volume: 129
• Issue: 5
• Pages: 980-985

Dates

published

2016-05

Contributors

author

A. Jakimowicz

• Institute of Economics, Polish Academy of Sciences, Palace of Culture and Science, pl. Defilad 1, PL-00901 Warsaw, Poland

author

A. Baklarz

• Institute of Economics, Polish Academy of Sciences, Palace of Culture and Science, pl. Defilad 1, PL-00901 Warsaw, Poland

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Identifiers

DOI

10.12693/APhysPolA.129.980