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My group has been doing some work in this area.

In particular, see the following papers:

  http://people.maths.ox.ac.uk/~porterm/papers/fenn-pca_pub.pdf

  http://arxiv.org/abs/0905.4912

  http://people.maths.ox.ac.uk/~porterm/papers/fenn_fx_short.pdf


Also, though not networks per se, we also have a survey article on limit
order books [and are planning on doing networky stuff with such data]:

  http://arxiv.org/abs/1012.0349


And if you look in, say, a couple of months, there should be another paper
on limit order books on my website. (Well, let me be optimistic about
when we will be ready to post the paper, even though it always takes
longer than I think it will to finish...)

-----
Mason

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  Mason A. Porter
  University Lecturer (and Tutorial Fellow, Somerville College)
  Oxford Centre for Industrial and Applied Mathematics
  Mathematical Institute, University of Oxford

  Homepage: http://www.maths.ox.ac.uk/~porterm, IM: tepid451
  Blog: http://masonporter.blogspot.com/
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  "That's my new excuse, and I'm sticking to it." (Me)
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