The prediction of fluctuation in the order-driven financial market.

Risk prediction is one of the important issues that draws much attention from academia and industry. And the fluctuation-absolute value of the change of price, is one of the indexes of risk. In this paper, we focus on the relationship between fluctuation and order volume. Based on the observation that the price would move when the volume of order changes, the prediction of price fluctuation can be converted into the prediction of order volume. Modelling the trader's behaviours-order placement and order cancellation, we propose an order-based fluctuation prediction model. And our model outperforms better than baseline in OKCoin and BTC-e datasets.

Anomaly detection in Bitcoin market via price return analysis.

The Bitcoin market becomes the focus of the economic market since its birth, and it has attracted wide attention from both academia and industry. Due to the absence of regulations in the Bitcoin market, it may be easier to bring some kinds of illegal behaviors. Thus, it raises an interesting question: Is there abnormity or illegal behavior in Bitcoin platforms? To answer this question, we investigate the abnormity in five leading Bitcoin platforms. By analyzing the financial index, i.e. the normalized logarithmic price return, we find that the properties of price return in bitFlyer are completely different from others. To find the possible reasons, we find that the abnormal ask price and bid price appear simultaneously in bitFlyer, which may be potentially linked to either price manipulation or money laundering. It verifies our conjecture that there may be abnormity or price manipulation in Bitcoin platforms. Furthermore, our findings in price return could also provide an innovative and effective method to detect the abnormity in Bitcoin platforms.

Mention effect in information diffusion on a micro-blogging network.

Micro-blogging systems have become one of the most important ways for information sharing. Network structure and users' interactions such as forwarding behaviors have aroused considerable research attention, while mention, as a key feature in micro-blogging platforms which can improve the visibility of a message and direct it to a particular user beyond the underlying social structure, is seldom studied in previous works. In this paper, we empirically study the mention effect in information diffusion, using the dataset from a population-scale social media website. We find that users with high number of followers would receive much more mentions than others. We further investigate the effect of mention in information diffusion by examining the response probability with respect to the number of mentions in a message and observe a saturation at around 5 mentions. Furthermore, we find that the response probability is the highest when a reciprocal followship exists between users, and one is more likely to receive a target user's response if they have similar social status. To illustrate these findings, we propose the response prediction task and formulate it as a binary classification problem. Extensive evaluation demonstrates the effectiveness of discovered factors. Our results have consequences for the understanding of human dynamics on the social network, and potential implications for viral marketing and public opinion monitoring.

Market Confidence Predicts Stock Price: Beyond Supply and Demand.

Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.

Collective credit allocation in science.

Collaboration among researchers is an essential component of the modern scientific enterprise, playing a particularly important role in multidisciplinary research. However, we continue to wrestle with allocating credit to the coauthors of publications with multiple authors, because the relative contribution of each author is difficult to determine. At the same time, the scientific community runs an informal field-dependent credit allocation process that assigns credit in a collective fashion to each work. Here we develop a credit allocation algorithm that captures the coauthors' contribution to a publication as perceived by the scientific community, reproducing the informal collective credit allocation of science. We validate the method by identifying the authors of Nobel-winning papers that are credited for the discovery, independent of their positions in the author list. The method can also compare the relative impact of researchers working in the same field, even if they did not publish together. The ability to accurately measure the relative credit of researchers could affect many aspects of credit allocation in science, potentially impacting hiring, funding, and promotion decisions.

Science communication. Response to Comment on "Quantifying long-term scientific impact".

Wang, Mei, and Hicks claim that they observed large mean prediction errors when using our model. We find that their claims are a simple consequence of overfitting, which can be avoided by standard regularization methods. Here, we show that our model provides an effective means to identify papers that may be subject to overfitting, and the model, with or without prior treatment, outperforms the proposed naïve approach.

Temporal scaling in information propagation.

For the study of information propagation, one fundamental problem is uncovering universal laws governing the dynamics of information propagation. This problem, from the microscopic perspective, is formulated as estimating the propagation probability that a piece of information propagates from one individual to another. Such a propagation probability generally depends on two major classes of factors: the intrinsic attractiveness of information and the interactions between individuals. Despite the fact that the temporal effect of attractiveness is widely studied, temporal laws underlying individual interactions remain unclear, causing inaccurate prediction of information propagation on evolving social networks. In this report, we empirically study the dynamics of information propagation, using the dataset from a population-scale social media website. We discover a temporal scaling in information propagation: the probability a message propagates between two individuals decays with the length of time latency since their latest interaction, obeying a power-law rule. Leveraging the scaling law, we further propose a temporal model to estimate future propagation probabilities between individuals, reducing the error rate of information propagation prediction from 6.7% to 2.6% and improving viral marketing with 9.7% incremental customers.

Trading network predicts stock price.

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading network. We then classify the nodes of trading network into three roles according to their connectivity pattern. Strong Granger causality is found between stock price and trading relationship indices, i.e., the fraction of trading relationship among nodes with different roles. We further predict stock price by incorporating these trading relationship indices into a neural network based on time series of stock price. Experimental results on 51 stocks in two Chinese Stock Exchanges demonstrate the accuracy of stock price prediction is significantly improved by the inclusion of trading relationship indices.

Cumulative effect in information diffusion: empirical study on a microblogging network.

Cumulative effect in social contagion underlies many studies on the spread of innovation, behavior, and influence. However, few large-scale empirical studies are conducted to validate the existence of cumulative effect in information diffusion on social networks. In this paper, using the population-scale dataset from the largest Chinese microblogging website, we conduct a comprehensive study on the cumulative effect in information diffusion. We base our study on the diffusion network of message, where nodes are the involved users and links characterize forwarding relationship among them. We find that multiple exposures to the same message indeed increase the possibility of forwarding it. However, additional exposures cannot further improve the chance of forwarding when the number of exposures crosses its peak at two. This finding questions the cumulative effect hypothesis in information diffusion. Furthermore, to clarify the forwarding preference among users, we investigate both structural motif in the diffusion network and temporal pattern in information diffusion process. Findings provide some insights for understanding the variation of message popularity and explain the characteristics of diffusion network.

Degree-strength correlation reveals anomalous trading behavior.

Manipulation is an important issue for both developed and emerging stock markets. Many efforts have been made to detect manipulation in stock markets. However, it is still an open problem to identify the fraudulent traders, especially when they collude with each other. In this paper, we focus on the problem of identifying the anomalous traders using the transaction data of eight manipulated stocks and forty-four non-manipulated stocks during a one-year period. By analyzing the trading networks of stocks, we find that the trading networks of manipulated stocks exhibit significantly higher degree-strength correlation than the trading networks of non-manipulated stocks and the randomized trading networks. We further propose a method to detect anomalous traders of manipulated stocks based on statistical significance analysis of degree-strength correlation. Experimental results demonstrate that our method is effective at distinguishing the manipulated stocks from non-manipulated ones. Our method outperforms the traditional weight-threshold method at identifying the anomalous traders in manipulated stocks. More importantly, our method is difficult to be fooled by colluded traders.

Exploring the structural regularities in networks.

In this paper, we consider the problem of exploring structural regularities of networks by dividing the nodes of a network into groups such that the members of each group have similar patterns of connections to other groups. Specifically, we propose a general statistical model to describe network structure. In this model, a group is viewed as a hidden or unobserved quantity and it is learned by fitting the observed network data using the expectation-maximization algorithm. Compared with existing models, the most prominent strength of our model is the high flexibility. This strength enables it to possess the advantages of existing models and to overcome their shortcomings in a unified way. As a result, not only can broad types of structure be detected without prior knowledge of the type of intrinsic regularities existing in the target network, but also the type of identified structure can be directly learned from the network. Moreover, by differentiating outgoing edges from incoming edges, our model can detect several types of structural regularities beyond competing models. Tests on a number of real world and artificial networks demonstrate that our model outperforms the state-of-the-art model in shedding light on the structural regularities of networks, including the overlapping community structure, multipartite structure, and several other types of structure, which are beyond the capability of existing models.

Covariance, correlation matrix, and the multiscale community structure of networks.

Empirical studies show that real world networks often exhibit multiple scales of topological descriptions. However, it is still an open problem how to identify the intrinsic multiple scales of networks. In this paper, we consider detecting the multiscale community structure of network from the perspective of dimension reduction. According to this perspective, a covariance matrix of network is defined to uncover the multiscale community structure through the translation and rotation transformations. It is proved that the covariance matrix is the unbiased version of the well-known modularity matrix. We then point out that the translation and rotation transformations fail to deal with the heterogeneous network, which is very common in nature and society. To address this problem, a correlation matrix is proposed through introducing the rescaling transformation into the covariance matrix. Extensive tests on real world and artificial networks demonstrate that the correlation matrix significantly outperforms the covariance matrix, identically the modularity matrix, as regards identifying the multiscale community structure of network. This work provides a novel perspective to the identification of community structure and thus various dimension reduction methods might be used for the identification of community structure. Through introducing the correlation matrix, we further conclude that the rescaling transformation is crucial to identify the multiscale community structure of network, as well as the translation and rotation transformations.