IDEAS home Printed from
   My bibliography  Save this paper

Volatility polarization of non-specialized investors' heterogeneous activity


  • Mario Guti'errez-Roig
  • Josep Perell'o


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.

Suggested Citation

  • Mario Guti'errez-Roig & Josep Perell'o, 2013. "Volatility polarization of non-specialized investors' heterogeneous activity," Papers 1302.3169,
  • Handle: RePEc:arx:papers:1302.3169

    Download full text from publisher

    File URL:
    File Function: Latest version
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.