Identification of clusters of investors from their real trading activity in a financial market
- Authors: Tumminello, M.; Lillo, F.; Piilo, J.; Mantegna, R.
- Publication year: 2012
- Type: Articolo in rivista (Articolo in rivista)
- Key words: Networks, Bipartite systems, Financial Markets
- OA Link: http://hdl.handle.net/10447/62493
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.