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

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

doi:10.2139/ssrn.1890584

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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

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: 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