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

25 Pages Posted: 20 Jul 2011 Last revised: 25 Jul 2011

See all articles by Michele Tumminello

Michele Tumminello

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

Fabrizio Lillo

Università di Bologna

Jyrki Piilo

University of Turku

Rosario N. Mantegna

University of Palermo

Date Written: 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.

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

JEL Classification: C81, D19, D49, G14

Suggested Citation

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

Michele Tumminello

University of Palermo ( email )

Viale delle Scienza
Palermo, Palermo 90128
Italy

Carnegie Mellon University - Department of Social and Decision Sciences ( email )

Pittsburgh, PA 15213-3890
United States

Fabrizio Lillo

Università di Bologna ( email )

Via Zamboni, 33
Bologna, 40126
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)

University of Palermo ( email )

Dipartimento di Fisica e Chimica
Viale delle Scienze, Edificio 18
Palermo, PA I-90128
Italy
+3909123899074 (Phone)
+3909123860815 (Fax)

HOME PAGE: http://www.unipa.it/persone/docenti/m/rosario.mantegna

Register to save articles to
your library

Register

Paper statistics

Downloads
173
Abstract Views
1,023
rank
174,797
PlumX Metrics