Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market

Tumminello, Michele; Lillo, Fabrizio; Piilo, Jyrki; Mantegna, Rosario

doi:10.2139/ssrn.1890584

Abstract

References (41)

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Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market

Michele Tumminello

Carnegie Mellon University - Department of Social and Decision Sciences; University of Palermo

Central European University; University of Palermo

July 20, 2011

Abstract:
We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the stock Nokia. We find that many statistically detected clusters of investors show a very high degree of synchronization in the time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.

Number of Pages in PDF File: 25

Keywords: Financial markets, Institutional and individual investors, Households finance, Complex systems, Networks

JEL Classification: C81, D19, D49, G14

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Date posted: July 20, 2011 ; Last revised: July 25, 2011

Suggested Citation

Tumminello, Michele, Lillo, Fabrizio, Piilo, Jyrki and Mantegna, Rosario N., Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market (July 20, 2011). Available at SSRN: http://ssrn.com/abstract=1890584 or http://dx.doi.org/10.2139/ssrn.1890584

Contact Information

Michele Tumminello Carnegie Mellon University - Department of Social and Decision Sciences ( email ) Pittsburgh, PA 15213-3890 United States
University of Palermo ( email ) Viale delle Scienza Palermo, 90128 Italy
Fabrizio Lillo University of Palermo ( email ) viale delle Scienze - Edificio 18 61 - 90128 Palermo Italy
Jyrki Piilo University of Turku ( email ) Turku Centre for Quantum Physics Department of Physics and Astronomy FIN-20014 TURKU Finland
Rosario Nunzio Mantegna (Contact Author) Central European University ( email ) Nador utca 9 Budapest, H-1051 Hungary
University of Palermo ( email ) Dipartimento di Fisica Viale delle Scienze, Edificio 18 Palermo, PA I-90128 Italy +3909123899074 (Phone) +3909123860815 (Fax) HOME PAGE: http://ocs.unipa.it/Site/Rosario_Nunzio_Mantegna.html

Abstract

References (41)

Citations (1)

Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market

Michele Tumminello

Fabrizio Lillo

Jyrki Piilo

Rosario N. Mantegna

Date posted: July 20, 2011 ; Last revised: July 25, 2011

Suggested Citation

Contact Information

Michele Tumminello

Fabrizio Lillo

Jyrki Piilo

Rosario Nunzio Mantegna (Contact Author)