Abstract

http://ssrn.com/abstract=1361184
 
 

References (42)



 
 

Citations (2)



 


 



Trading Networks


Lada Adamic


University of Michigan at Ann Arbor; Xerox Corp. - Palo Alto Research Center

Celso Brunetti


Board of Governors of the Federal Reserve System (FRB)

Jeffrey H. Harris


American University

Andrei A. Kirilenko


Massachusetts Institute of Technology (MIT) Sloan School of Management

March 5, 2010


Abstract:     
We model and measure patterns of order execution in order driven markets. We model these patterns as trading networks - graphs consisting of traders (nodes) and pairwise buy-sell connections among them (edges) that occured within a period of time. We construct a time series of over 12,000 trading networks using audit trail, transaction-level data for the September 2009 E-mini S&P 500 futures contract. We find that network metrics that quantify patterns of order execution are highly contemporaneously correlated with returns, volatility, volume, duration, and market liquidity. We also find that network metrics strongly Granger-cause intertrade duration and trading volume, but are not Granger-caused by them. We conclude that network metrics can be used to characterize the interaction between latent order submission strategies and transaction prices, trading volume, intertrade duration, and liquidity.

Number of Pages in PDF File: 32

Keywords: trading networks, financial networks, limit order book, limit order markets

JEL Classification: G12, D82, D83, D85

working papers series


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Date posted: March 17, 2009 ; Last revised: March 14, 2010

Suggested Citation

Adamic, Lada and Brunetti, Celso and Harris, Jeffrey H. and Kirilenko, Andrei A., Trading Networks (March 5, 2010). Available at SSRN: http://ssrn.com/abstract=1361184 or http://dx.doi.org/10.2139/ssrn.1361184

Contact Information

Lada Adamic
University of Michigan at Ann Arbor ( email )
701 Tappan St. Rm E2600
Ann Arbor, MI 48109
United States
+1 (734) 615 2132 (Phone)
HOME PAGE: http://www-personal.umich.edu/~ladamic
Xerox Corp. - Palo Alto Research Center ( email )
3333 Coyote Hill Road
Palo Alto, CA 94304-1314
United States
650-812-4147 (Phone)
Celso Brunetti
Board of Governors of the Federal Reserve System (FRB) ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
Jeffrey H. Harris
American University ( email )
Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)
Andrei A. Kirilenko (Contact Author)
Massachusetts Institute of Technology (MIT) Sloan School of Management ( email )
100 Main Street
E62-612
Cambridge, MA 02142
United States
HOME PAGE: http://mitsloan.mit.edu/faculty/detail.php?in_spseqno=54152
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