In this chapter we discuss Aoki’s work on the description of clusters of economic agents acting in a market. Specifically, we briefly discuss his work on the Ewens distribution and its application in a model of stock market with heterogeneous agents. We then review recent empirical analyses on the heterogeneity of financial market participants and make a working hypothesis for an empirical study on the distribution of the number of clusters of market participants in a real stock market monitored with a resolution down to the shadowed identity of market participants.
Mantegna, R.N. (2020). Clusters of Traders in Financial Markets. In Complexity, Heterogeneity, and the Methods of Statistical Physics in Economics Essays in Memory of Masanao Aoki (pp. 203-212) [10.1007/978-981-15-4806-2_10].
Clusters of Traders in Financial Markets
Mantegna, Rosario N.
2020-01-01
Abstract
In this chapter we discuss Aoki’s work on the description of clusters of economic agents acting in a market. Specifically, we briefly discuss his work on the Ewens distribution and its application in a model of stock market with heterogeneous agents. We then review recent empirical analyses on the heterogeneity of financial market participants and make a working hypothesis for an empirical study on the distribution of the number of clusters of market participants in a real stock market monitored with a resolution down to the shadowed identity of market participants.
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