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Patterns of investment of single investors at the Nordic Stock Exchange

Federico Musciotto 3Luca Marotta 3Salvatore Micciche' 3Jyrki Piilo 2Rosario N. Mantegna 1,3

1. Central European University, Nador 9 utca, Budapest 1051, Hungary
2. University of Turku, Turku 20014, Finland
3. Università degli Studi di Palermo, Palermo 90100, Italy

Abstract

We investigate the investment profile of single investors trading financial assets primarily at the Helsinki venue of the Nordic Stock Exchange. Data about the daily individual ownerships of financial assets have been obtained by Euroclear. We investigate the ownerships of individual investors recorded during the calendar year of 2003 for the 25 stocks belonging to the OMX25 index. The similarity between investment profile of investors is measured and statistically assessed with a variant of the methodology of statistically validated networks [1]. This work extends the work done so far only on investments in the single stock of Nokia done for the longer time period 2003-2008 [2]. In the present work we restrict ourselves to 2003 to investigate the lower limit of time period needed by our method to present a power of the statistical test which is enough to detect profiles of investment that are common to small groups of investors. In fact, for most of the stocks, we observe small clusters of investors characterized by co-movements in their profile of investment. We verify that some of these groups of investors are acting in parallel on several stocks. We also propose an interpretation of the rational which is underlying some of the investment strategies.

 

[1] Tumminello, Michele, Salvatore Miccichè, Fabrizio Lillo, Jyrki Piilo, and Rosario N. Mantegna. "Statistically validated networks in bipartite complex systems." PLoS ONE (2011): e17994.

 

[2] Tumminello, Michele, Fabrizio Lillo, Jyrki Piilo, and Rosario N. Mantegna. "Identification of clusters of investors from their real trading activity in a financial market." New Journal of Physics 14, no. 1 (2012): 013041.

 

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Presentation: Invited oral at 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Rosario N. Mantegna
See On-line Journal of 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2015-09-23 14:14
Revised:   2015-09-23 14:34