A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Identification of clusters of investors from their real trading activity in a financial market
Tekijät: Tumminello M, Lillo F, Piilo J, Mantegna RN
Kustantaja: IOP PUBLISHING LTD
Julkaisuvuosi: 2012
Journal: New Journal of Physics
Tietokannassa oleva lehden nimi: NEW JOURNAL OF PHYSICS
Lehden akronyymi: NEW J PHYS
Artikkelin numero: ARTN 013041
Vuosikerta: 14
Sivujen määrä: 26
ISSN: 1367-2630
DOI: https://doi.org/10.1088/1367-2630/14/1/013041
Rinnakkaistallenteen osoite: https://arxiv.org/abs/1107.3942
Tiivistelmä
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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