6533b7d0fe1ef96bd125ae6e

RESEARCH PRODUCT

Identification of clusters of investors from their real trading activity in a financial market

Fabrizio LilloFabrizio LilloFabrizio LilloRosario N. MantegnaJyrki PiiloMichele TumminelloMichele Tumminello

subject

Social and Information Networks (cs.SI)FOS: Computer and information sciencesPhysicsPhysics - Physics and SocietyQuantitative Finance - Trading and Market MicrostructureBipartite systemFinancial marketFOS: Physical sciencesGeneral Physics and AstronomyNetworkComputer Science - Social and Information NetworksPhysics and Society (physics.soc-ph)tradingComplex networkBipartite systemTrading and Market Microstructure (q-fin.TR)FOS: Economics and businessIdentification (information)big dataSynchronization (computer science)EconometricsNetworks Bipartite systems Financial MarketsFinancial MarketsStock (geology)clustering

description

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.

yearjournalcountryeditionlanguage
2012-01-01
10.1088/1367-2630/14/1/013041http://arxiv.org/abs/1107.3942