Clusters of traders in financial markets
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.
R. Mantegna, Clusters of traders in financial markets, in: Aoyama H., Aruka Y., Yoshikawa H. (eds) Complexity, Heterogeneity, and the Methods of Statistical Physics in Economics. Evolutionary Economics and Social Complexity Science, vol 22. Springer, Singapore