A1 Refereed original research article in a scientific journal
Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach
Authors: Musciotto F, Marotta L, Micciche S, Piilo J, Mantegna RN
Publisher: PERGAMON-ELSEVIER SCIENCE LTD
Publication year: 2016
Journal: Chaos, Solitons and Fractals
Journal name in source: CHAOS SOLITONS & FRACTALS
Journal acronym: CHAOS SOLITON FRACT
Volume: 88
Issue: SI
First page : 267
Last page: 278
Number of pages: 12
ISSN: 0960-0779
eISSN: 1873-2887
DOI: https://doi.org/10.1016/j.chaos.2016.02.027(external)
Abstract
We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an appropriate threshold of the hierarchical trees is used. We also show that the combination of the correlation based method and of the statistically validated method provides a way to expand the information about the clusters of investors with similar trading profiles in a robust and reliable way. (C) 2016 Elsevier Ltd. All rights reserved.
We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an appropriate threshold of the hierarchical trees is used. We also show that the combination of the correlation based method and of the statistically validated method provides a way to expand the information about the clusters of investors with similar trading profiles in a robust and reliable way. (C) 2016 Elsevier Ltd. All rights reserved.
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