Michele Tumminello et al 2012 New J. Phys. 14 013041 doi:10.1088/1367-2630/14/1/013041
Identification of clusters of investors from their real trading activity in a financial market
Michele Tumminello1,2, Fabrizio Lillo1,3,4, Jyrki Piilo5 and Rosario N Mantegna1,6
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We use statistically validated networks, a recently introduced method of validating links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing us to track the trading activity of individual investors of Nokia stock. We find that many statistically detected clusters of investors show a very high degree of synchronization in time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and find that several of them show an over-expression of specific categories of investors.
- PACS
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89.65.Gh Economics; econophysics, financial markets, business and management
89.75.Hc Networks and genealogical trees
02.50.-r Probability theory, stochastic processes, and statistics
- Subjects
- Dates
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Issue 1 (January 2012)
Received 19 July 2011
Published 20 January 2012
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Identification of clusters of investors from their real trading activity in a financial market
Michele Tumminello et al 2012 New J. Phys. 14 013041
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