Volatility polarization of non-specialized investors' heterogeneous activity
Financial markets provide an ideal frame for studying decision making in crowded environments. Both the amount and accuracy of the data allows to apply tools and concepts coming from physics that studies collective and emergent phenomena or self-organised and highly heterogeneous systems. We analyse the activity of 29,930 non-expert individuals that represent a small portion of the whole market trading volume. The very heterogeneous activity of individuals obeys a Zipf's law, while synchronization network properties unveil a community structure. We thus correlate individual activity with the most eminent macroscopic signal in financial markets, that is volatility, and quantify how individuals are clearly polarized by volatility. The assortativity by attributes of our synchronization networks also indicates that individuals look at the volatility rather than imitate directly each other thus providing an interesting interpretation of herding phenomena in human activity. The results can also improve agent-based models since they provide direct estimation of the agent's parameters.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1302.3169. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.