Patterns of Trading Profiles at the Nordic Stock Exchange. A Correlation-Based Approach.

25 Pages Posted: 22 Nov 2015

See all articles by Federico Musciotto

Federico Musciotto

University of Palermo

Luca Marotta

University of Palermo

Salvatore Miccichè

University of Palermo - Department of Physics and Chemistry

Jyrki Piilo

University of Turku

Rosario N. Mantegna

University of Palermo

Date Written: November 17, 2015

Abstract

We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an appropriate threshold of the hierarchical trees is used. We also show that the combination of the correlation based method and of the statistically validated method provides a way to expand the information about the clusters of investors with similar trading profiles in a robust and reliable way.

Keywords: Econophysics, Correlation-based networks, Statistically validated networks, Individual investors

Suggested Citation

Musciotto, Federico and Marotta, Luca and Miccichè, Salvatore and Piilo, Jyrki and Mantegna, Rosario Nunzio, Patterns of Trading Profiles at the Nordic Stock Exchange. A Correlation-Based Approach. (November 17, 2015). Available at SSRN: https://ssrn.com/abstract=2693973 or http://dx.doi.org/10.2139/ssrn.2693973

Federico Musciotto

University of Palermo ( email )

Viale delle Scienza
Palermo, 90128
Italy

Luca Marotta

University of Palermo ( email )

Viale delle Scienza
Palermo, 90128
Italy

Salvatore Miccichè

University of Palermo - Department of Physics and Chemistry ( email )

Viale delle Scienze, Ed. 17
Palermo, PA 90128
Italy
+3909123899145 (Phone)

HOME PAGE: http://www.unipa.it/~salvatore.micciche

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
36
Abstract Views
437
PlumX Metrics