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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 7: Poster

SOE 7.23: Poster

Monday, March 12, 2018, 17:00–20:00, Poster E

Extracting the wide variety of trading in stock markets — Martin Theissen, •Sebastian M. Krause, and Thomas Guhr — Faculty of Physics, University of Duisburg-Essen, Lotharstr. 1, 47048 Duisburg, Germany

Stock markets are complex systems involving large numbers of traders and many correlated stocks. So far, the microscopic analysis and modeling of stock trading was heavily concentrated on single stocks. Here we analyze and compare the trading activity of a large number of stocks [1]. We find that the market microstructure of stocks shows a surprisingly wide variety. Further we identify groups of stocks with a similar behavior. This is helpful for a systemic understanding of stock markets, and for building agent based models of many interacting stocks.

[1] M. Theissen, S.M. Krause and T. Guhr, Regularities and irregularities in order flow data, Eur. Phys. J. B 90, 218 (2017).