6533b7dcfe1ef96bd12720f9
RESEARCH PRODUCT
Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach.
Rosario N. MantegnaRosario N. MantegnaFederico MusciottoJyrki PiiloLuca MarottaSalvatore Miccichèsubject
Index (economics)Computer scienceGeneral MathematicsGeneral Physics and Astronomy01 natural sciences010305 fluids & plasmasFOS: Economics and businessSet (abstract data type)CorrelationIndividual investorsStock exchangeStatistically validated network0103 physical sciencesCluster (physics)Econometrics010306 general physicsStructure (mathematical logic)Quantitative Finance - Trading and Market Microstructureta114EconophysicsApplied Mathematicsta111EconophysicStatistical and Nonlinear PhysicsSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)Trading and Market Microstructure (q-fin.TR)Correlation-based networkInvestment decisionsGeneral Finance (q-fin.GN)Quantitative Finance - General Financedescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2016-07-01 | Chaos, Solitons & Fractals |