Quantitative Finance > General Finance
[Submitted on 11 Feb 2014 (v1), last revised 28 Aug 2014 (this version, v2)]
Title:Stock portfolio structure of individual investors infers future trading behavior
View PDFAbstract:Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this paper, we investigate the relation between what stocks investors hold, and what stocks they buy, and show that investors with similar portfolio structures to a great extent trade in a similar way. With data from the central register of shareholdings in Sweden, we model the market in a similarity network, by considering investors as nodes, connected with links representing portfolio similarity. From the network, we find groups of investors that not only identify different investment strategies, but also represent groups of individual investors trading in a similar way. These findings suggest that the stock portfolios of investors hold meaningful information, which could be used to earn a better understanding of stock market dynamics.
Submission history
From: Ludvig Bohlin [view email][v1] Tue, 11 Feb 2014 14:16:05 UTC (99 KB)
[v2] Thu, 28 Aug 2014 14:18:58 UTC (50 KB)
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