Structural analysis and evolutionary exploration based on the research topic network of a field: a case in high-frequency trading

Abstract

This study aims to systematically analyze the distribution dynamics of research topics and uncover the development state of the research in the specific field, which will provide a practical reference for developing professional subject knowledge services in the era of big data. The research topic network is constructed and analyzed using methods and tools of scientometrics. Basic statistics on network characteristics are performed to reveal the research status. Community detection, node ordering, and other steps are conducted to generate the evolutionary alluvial diagram. Then, relevant results are analyzed to explore the knowledge structure of the specific field and evolutionary context of research topics. Visualization analysis on the network structure of the latest period is executed to distinguish related concepts and predict the research trends. Taking high-frequency trading (HFT) as a case, this study achieves diversified scientometrics analysis of the research topic network and multi-dimensional evolution exploration of the relevant research topics in the specific field, which obtaining some knowledge insights. (1) Six major topics in HFT: liquidity & market microstructure, market efficiency, financial market, incomplete market, cointegration & price discovery, and event study. (2) The research focus about markets gradually transferred from international to emerging, meanwhile continuous attention to volatility/risk related issues. (3) The emphasis will change from theory to practice, technologies (big data, etc.) and theories (behavioral finance, etc.) will have more interaction with HFT. An effective research idea is proposed to reveal the knowledge structure of field and analyze the evolutionary context of research topics, which demonstrating the knowledge insights.

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