Correlations and clustering in the trading of members of the London Stock Exchange

Details Correlations and clustering in the trading of members of the London Stock Exchange Correlations and clustering in the trading of members of the London Stock Exchange

2007-09-20

arxiv.org/abs/0709.3261v1

Economy

Quantitative Finance

Statistical Finance

Scientific paper

10.1063/1.2828747

This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that institution in hour intervals. Using several methods we show that there are significant and persistent correlations between institutions. In addition, the correlations are structured into correlated and anti-correlated groups. Clustering techniques using the correlations as a distance metric reveal a meaningful clustering structure with two groups of institutions trading in opposite directions.

Affiliated with

Also associated with

No associations

Rating

Correlations and clustering in the trading of members of the London Stock Exchange does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Correlations and clustering in the trading of members of the London Stock Exchange, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Correlations and clustering in the trading of members of the London Stock Exchange will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-518216