A1 Refereed original research article in a scientific journal
Identification of clusters of investors from their real trading activity in a financial market
Authors: Tumminello M, Lillo F, Piilo J, Mantegna RN
Publisher: IOP PUBLISHING LTD
Publication year: 2012
Journal: New Journal of Physics
Journal name in source: NEW JOURNAL OF PHYSICS
Journal acronym: NEW J PHYS
Article number: ARTN 013041
Volume: 14
Number of pages: 26
ISSN: 1367-2630
DOI: https://doi.org/10.1088/1367-2630/14/1/013041
Self-archived copy’s web address: https://arxiv.org/abs/1107.3942
Abstract
We use statistically validated networks, a recently introduced method of validating links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing us to track the trading activity of individual investors of Nokia stock. We find that many statistically detected clusters of investors show a very high degree of synchronization in time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and find that several of them show an over-expression of specific categories of investors.
We use statistically validated networks, a recently introduced method of validating links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing us to track the trading activity of individual investors of Nokia stock. We find that many statistically detected clusters of investors show a very high degree of synchronization in time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and find that several of them show an over-expression of specific categories of investors.
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