Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market
Carnegie Mellon University - Department of Social and Decision Sciences; University of Palermo
University of Palermo
University of Turku
Rosario N. Mantegna
Central European University; University of Palermo
July 20, 2011
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, G14working papers series
Date posted: July 20, 2011 ; Last revised: July 25, 2011
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