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Specialization of strategies and herding behavior of trading firms in a financial market

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Listed:
  • Fabrizio Lillo
  • Esteban Moro
  • Gabriella Vaglica
  • Rosario N. Mantegna

Abstract

The understanding of complex social or economic systems is an important scientific challenge. Here we present a comprehensive study of the Spanish Stock Exchange showing that most financial firms trading in that market are characterized by a resulting strategy and can be classified in groups of firms with different specialization. Few large firms overally act as trending firms whereas many heterogeneous firm act as reversing firms. The herding properties of these two groups are markedly different and consistently observed over a four-year period of trading.

Suggested Citation

  • Fabrizio Lillo & Esteban Moro & Gabriella Vaglica & Rosario N. Mantegna, 2007. "Specialization of strategies and herding behavior of trading firms in a financial market," Papers 0707.0385, arXiv.org.
    • Handle: RePEc:arx:papers:0707.0385
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    File URL: http://arxiv.org/pdf/0707.0385
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    Cited by:

    1. J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Levine's Working Paper Archive 122247000000002067, David K. Levine.

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