Dataset Information

Extracting the multi-timescale activity patterns of online financial markets.

ABSTRACT: Online financial markets can be represented as complex systems where trading dynamics can be captured and characterized at different resolutions and time scales. In this work, we develop a methodology based on non-negative tensor factorization (NTF) aimed at extracting and revealing the multi-timescale trading dynamics governing online financial systems. We demonstrate the advantage of our strategy first using synthetic data, and then on real-world data capturing all interbank transactions (over a million) occurred in an Italian online financial market (e-MID) between 2001 and 2015. Our results demonstrate how NTF can uncover hidden activity patterns that characterize groups of banks exhibiting different trading strategies (normal vs. early vs. flash trading, etc.). We further illustrate how our methodology can reveal "crisis modalities" in trading triggered by endogenous and exogenous system shocks: as an example, we reveal and characterize trading anomalies in the midst of the 2008 financial crisis.

SUBMITTER: Kobayashi T

PROVIDER: S-EPMC6060124 | biostudies-literature | 2018 Jul

REPOSITORIES: biostudies-literature

ACCESS DATA

Publications

Extracting the multi-timescale activity patterns of online financial markets.

Kobayashi Teruyoshi T Sapienza Anna A Ferrara Emilio E

Scientific reports 20180725 1

Online financial markets can be represented as complex systems where trading dynamics can be captured and characterized at different resolutions and time scales. In this work, we develop a methodology based on non-negative tensor factorization (NTF) aimed at extracting and revealing the multi-timescale trading dynamics governing online financial systems. We demonstrate the advantage of our strategy first using synthetic data, and then on real-world data capturing all interbank transactions (over ...[more]

PMID: 30046150

Similar Datasets

Project description:BackgroundPatient and consumer access to eHealth information is of crucial importance because of its role in patient-centered medicine and to improve knowledge about general aspects of health and medical topics.ObjectivesThe objectives were to analyze and compare eHealth search patterns in a private (United States) and a public (United Kingdom) health care market.MethodsA new taxonomy of eHealth websites is proposed to organize the largest eHealth websites. An online measurement framework is developed that provides a precise and detailed measurement system. Online panel data are used to accurately track and analyze detailed search behavior across 100 of the largest eHealth websites in the US and UK health care markets.ResultsThe health, medical, and lifestyle categories account for approximately 90% of online activity, and e-pharmacies, social media, and professional categories account for the remaining 10% of online activity. Overall search penetration of eHealth websites is significantly higher in the private (United States) than the public market (United Kingdom). Almost twice the number of eHealth users in the private market have adopted online search in the health and lifestyle categories and also spend more time per website than those in the public market. The use of medical websites for specific conditions is almost identical in both markets. The allocation of search effort across categories is similar in both the markets. For all categories, the vast majority of eHealth users only access one website within each category. Those that conduct a search of two or more websites display very narrow search patterns. All users spend relatively little time on eHealth, that is, 3-7 minutes per website.ConclusionsThe proposed online measurement framework exploits online panel data to provide a powerful and objective method of analyzing and exploring eHealth behavior. The private health care system does appear to have an influence on eHealth search behavior in terms of search penetration and time spent per website in the health and lifestyle categories. Two explanations are offered: (1) the personal incentive of medical costs in the private market incentivizes users to conduct online search; and (2) health care information is more easily accessible through health care professionals in the United Kingdom compared with the United States. However, the use of medical websites is almost identical, suggesting that patients interested in a specific condition have a motivation to search and evaluate health information, irrespective of the health care market. The relatively low level of search in terms of the number of websites accessed and the average time per website raise important questions about the actual level of patient informedness in both the markets. Areas for future research are outlined.

Dataset Information

Extracting the multi-timescale activity patterns of online financial markets.

Publications

Extracting the multi-timescale activity patterns of online financial markets.

Similar Datasets

OmicsDI is part of the ELIXIR infrastructure

Tweets