Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach

Federico Musciotto, Luca Marotta, Salvatore Miccichè, Jyrki Piilo and Rosario Mantegna

Chaos, Solitons & Fractals, 2016, vol. 88, issue C, 267-278

Abstract: We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an appropriate threshold of the hierarchical trees is used. We also show that the combination of the correlation based method and of the statistically validated method provides a way to expand the information about the clusters of investors with similar trading profiles in a robust and reliable way.

Keywords: Econophysics; Correlation-based networks; Statistically validated networks; Individual investors (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Working Paper: Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:88:y:2016:i:c:p:267-278

DOI: 10.1016/j.chaos.2016.02.027

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