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Identification of clusters of investors from their real trading activity in a financial market
investors real trading activity Trading and Market Microstructure
2011/8/17
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, ...
Replicating financial market dynamics with a simple self-organized critical lattice model
Computational Finance (q-fin.CP) Adaptation and Self-Organizing Systems (nlin.AO)
2010/11/11
We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signa...
Temporal Evolution of Financial Market Correlations
Financial Market Correlations Statistical
2010/11/17
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes c...
A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
2010/4/27
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the mo...