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

Michele Tumminello, Fabrizio Lillo, Jyrki Piilo, Rosario N Mantegna
2012 New Journal of Physics  
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.  ...  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.  ...  MT, FL and RNM acknowledges the NSF project "Financial Markets as an Empirical Laboratory to Study an Evolving Ecology of Human Decision Making" for partial support.  ... 
doi:10.1088/1367-2630/14/1/013041 fatcat:is4hiie2q5dhvbf65vyvuzixzy

Analyzing market performance via social media: a case study of a banking industry crisis

CuiQing Jiang, Kun Liang, Hsinchun Chen, Yong Ding
2013 Science China Information Sciences  
We analyze the activities of stakeholder groups and topics in different periods of a crisis to evaluate the crisis's influence on various social media parameters.  ...  Analyzing market performance via social media has attracted a great deal of attention in the finance and machine-learning disciplines.  ...  According to the results obtained in this study, we identified a number of types of stakeholders and topics that play a key role in the stock market in real time.  ... 
doi:10.1007/s11432-013-4860-3 fatcat:l64bxbewnjaepag4zssf2etxpa

Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market

Guanqing Liu
2018 Computational Economics  
Finally, on the basis of 11 clusters' coordinates, the features of technical strategies in each group are summarised.  ...  By using market dataset to generate dummy signals according to six popular kinds of technical rules, we created dummy trading directions as benchmark for real trading actions.  ...  Investors should be more careful about their investment than stock market due to the trading assets, which may reflect on the benefit of their business.  ... 
doi:10.1007/s10614-018-9851-4 fatcat:4mkoqmqh3vbzva7mqc5a2takvm

The social construction of real estate market risk. The case of a financial investments cluster in Mexico City

Louise David
2012 Articulo: Journal of Urban Research  
carried out by financial investors (their location, characteristics, value, etc.); and (iii) the identification of the specific features of Mexico City’s commercial real estate markets in terms of land  ...  passive increments of real estate values, but also from their active management (i.e., management that consists of evaluating the building’s value on a quarterly basis, and that aims at maintaining and  ... 
doi:10.4000/articulo.2163 fatcat:5kr2etkikvhifeztuzlipwmdne

The Flow of Information in Trading: An Entropy Approach to Market Regimes

Anqi Liu, Jing Chen, Steve Y Yang, Alan G Hawkes
2020 Entropy  
Based on 11 years of news and market data, we find that the evolution of financial market regimes in terms of adaptive trading activities over the 2008 liquidity and euro-zone debt crises can be explicitly  ...  Then we use the transfer entropy to identify the news-driven trading activity that is revealed by the information flows from news sentiment to market returns.  ...  The rationale of this trading behavior identification method is that investors not only adopt but also "generate" information through their trading and these market-wide trading activities will be translated  ... 
doi:10.3390/e22091064 pmid:33286833 pmcid:PMC7597144 fatcat:mpih2hwogvgqxi5mrq4fzz7cgu

A Visualization Approach for Frauds Detection in Financial Market

Mao Lin Huang, Jie Liang, Quang Vinh Nguyen
2009 2009 13th International Conference Information Visualisation  
The event-driven fraud detection in financial market could not help analysts to find attack plans and the further intention of attackers.  ...  In the first stage, we use a 3D treemap to monitor the realtime stock market performance and to identify a particular stock that produced an unusual trading pattern.  ...  Failure to employ modern technology and methods used in conducting surveillance can mean significant financial loss to market abuse or loss of market goodwill as investors choose to trade their assets  ... 
doi:10.1109/iv.2009.23 dblp:conf/iv/HuangLN09 fatcat:wljtuib27bbhlizrdycuenv2mm

Market Microstructure and the Profitability of Currency Trading

Carol Osler
2012 Annual Review of Financial Economics  
Currency trading is a vast and highly profitable business. This review examines the profitability of two popular currency trading strategies in light of currency-market microstructure research.  ...  The carry-trade strategy involves borrowing a low-interest currency and investing the proceeds in a high-interest currency.  ...  Customers could not follow market prices in real time and had to call a second or even a third dealer in sequence if their first dealer's quote was unattractive.  ... 
doi:10.1146/annurev-financial-110311-101726 fatcat:uuojhmc4i5b5do33xbh76lyjla

Deep Prediction of Investor Interest: a Supervised Clustering Approach [article]

Baptiste Barreau, Laurent Carlier, Damien Challet
2019 arXiv   pre-print
We first verify its superior performance on a synthetic scenario inspired by real data and then apply it to two real-world databases, a publicly available dataset about the position of investors in Spanish  ...  We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given time frame.  ...  Identification of clusters of investors from their real trading activity in a financial market. New Journal of Physics, 14(1):013041, 2012. S. E. Yuksel, J. N. Wilson, and P. D. Gader.  ... 
arXiv:1909.05289v2 fatcat:6oxv3g65u5efdh3r7yhr3ucsey

Towards a New Data Mining-Based Approach for Anti-Money Laundering in an International Investment Bank [chapter]

Nhien-An Le-Khac, Sammer Markos, Mohand-Tahar Kechadi
2010 Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering  
Within the scope of a collaboration project for the purpose of developing a new solution for the AML Units in an international investment bank based in Ireland, we propose a new data mining-based approach  ...  This criminal activity is becoming more and more sophisticated and seems to have moved from the cliché of drug trafficking to financing terrorism and surely not forgetting personal gain.  ...  However they are not efficient for the investment market because there are many factors that influence the frequency of trades in investment activities such as political environment, market climate, fund  ... 
doi:10.1007/978-3-642-11534-9_8 fatcat:r6367g6i2bhqtgs3q6lqvmcqae

Intelligent finance—an emerging direction

Heping Pan, Didier Sornette, Kenneth Kortanek
2006 Quantitative finance (Print)  
Intelligent finance represents a new direction recently emerging from the confluence of several distinct disciplines in financial market analysis, investing and trading, removing any historical or artificial  ...  As a comprehensive approach, it is a quest for absolute positive and nontrivial returns in investing and trading via exploiting the complete information about the financial markets from all general perspectives  ...  of market activity, from which the consistent winners must be a minority among all the participants.  ... 
doi:10.1080/14697680600760753 fatcat:lkmwdg7aszhdrd2af7noiy76le

Does Mood Affect Trading Behavior?

Markku Kaustia, Elias Henrikki Rantapuska
2011 Social Science Research Network  
To identify mood effects this paper utilizes account level stock trading data from all investors in Finland, a country with significant variation in weather and length of day.  ...  While some weather-related mood variables and calendar effects are individually significant, little of the day-to-day variation in trading is collectively explained by all such factors.  ...  Foreigners trading in the Finnish stock market have the option to register their stockholdings in their own name or via a domestic financial institution using a nominee account.  ... 
doi:10.2139/ssrn.1875645 fatcat:5vpciwndvfaa7bhoom5fxttgoi

The Causal Impact of Media in Financial Markets

2011 Journal of Finance  
This linkage, and the fact that local media outlets often differ in their coverage of the same underlying events, affords a powerful test of the media's effects on financial market participants.  ...  Specifically, we ask whether media coverage of a financial event can alter investor behavior.  ...  Importantly, identification does not require investors to rely solely on local papers for their financial information, although some may.  ... 
doi:10.1111/j.1540-6261.2010.01626.x fatcat:xd3qwu52erhjfiqux7kzhu4o6e

The Causal Impact of Media in Financial Markets

Joseph Engelberg, Christopher A. Parsons
2009 Social Science Research Network  
This linkage, and the fact that local media outlets often differ in their coverage of the same underlying events, affords a powerful test of the media's effects on financial market participants.  ...  Specifically, we ask whether media coverage of a financial event can alter investor behavior.  ...  Importantly, identification does not require investors to rely solely on local papers for their financial information, although some may.  ... 
doi:10.2139/ssrn.1462416 fatcat:o3sa4gy2kzex3fbr4gyt4zizxq

Spring Oscillations within Financial Markets

Bohumil Stádník
2014 Procedia - Social and Behavioral Sciences  
In this financial engineering study we suggest a new realistic economic explanation of the price volatility clustering within worldwide financial markets.  ...  The research is the basic one in the area of the market price development.  ...  The value of the force is increasing with the market price deviation from the level as the activity of traders attempting to participate on the price turnover (level trading) is also increasing in this  ... 
doi:10.1016/j.sbspro.2013.12.964 fatcat:g66qsl3brfcgphpekspagff6la

Know Your Clients' Behaviours: A Cluster Analysis of Financial Transactions

John R. J. Thompson, Longlong Feng, R. Mark Reesor, Chuck Grace
2021 Journal of Risk and Financial Management  
of investors that behave similarly.  ...  Our unique dataset is provided by a financial investment dealer with over 50,000 accounts for over 23,000 clients covering the period from January 1st to August 12th 2019.  ...  The clusters included: • Cluster 1-active investors who trade frequently, in large amounts and appear sensitive to market influences, • Cluster 2-younger savers who make regular, smaller deposits using  ... 
doi:10.3390/jrfm14020050 fatcat:trbp6ehcj5cazaueugn3fnnnjq
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