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Analysis of Empirical Investor Networks and Information Events in Stock Market
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

We did further analysis to understand the dynamics of information diffusion in an"Empirical Investor Network (EIN) [8]. We find that the timings of the trades are of crucial importance for central investors. We find further evidence that central traders have information advantage and information diffusion plays a central role in their profitability. We verify through our robustness tests that all results hold up when profits are calculated using actual realized returns instead of a fixed holding period.

Place, publisher, year, edition, pages
IT, 13 088
National Category
Engineering and Technology
URN: urn:nbn:se:uu:diva-215603OAI: diva2:687725
Educational program
Master Programme in Computational Science
Available from: 2014-01-15 Created: 2014-01-15 Last updated: 2014-01-15Bibliographically approved

Open Access in DiVA

fulltext(572 kB)