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. 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
more » ... en. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.
doi:10.1088/1367-2630/14/1/013041 fatcat:is4hiie2q5dhvbf65vyvuzixzy