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Identification of clusters of investors from their real trading activity in a financial market (1107.3942v1)
Published 20 Jul 2011 in q-fin.TR, cs.SI, and physics.soc-ph
Abstract: 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.