Dresden 2006 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.2: Poster

Wednesday, March 29, 2006, 16:00–18:00, P2

Pattern detection in Continous Double Auction Markets — •Bettina Hoser and Andreas Geyer-Schulz — Chair of Information Services and Electronic Markets; Universität Karlsruhe (TH); 76128 Karlsruhe

In this paper the method of eigensystem analysis of complex Hermitian adjacency matrices is used to analyze accounting patterns in markets such as a political stock market. We model an accounting system of a market as an asymmetric weighted digraph. Depending on the accounting system structure the result of the eigensystem analysis yields different degrees of detail.

If a market is organized such that each trade has to be made via a central market counter party, we see the eigensystem of a bipartite graph with the shares on one side an the traders on the other. It represents the trading behavior within the submarkets but gives almost no information on the trading behavior between the traders. If on the other hand the underlying graph is defined such that a link between two traders is formed if the offer of one trader is matched with the demand of the other (this can be done by an equivalent transformation in the records of the accounting system),the eigensystem yields information on the trading behavior between traders. These two perspective could lead to new insights and invariants on market efficiency and fraud within a market.

[1] M. Franke, A. Geyer-Schulz, B. Hoser: Analyzing Trading Behavior in Transaction Data of Electronic Election Markets; Data Analysis and Decision Support; D. Baier, R. Decker, L. Schmidt-Thieme (eds.); Springer (2005); p.222–230.