英文标题：
《Dynamics of Investor Spanning Trees Around Dot-Com Bubble》
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作者：
Sindhuja Ranganathan, Mikko Kivel\\\"a, Juho Kanniainen
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最新提交年份：
2017
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英文摘要：
We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. We conduct the analysis separately for households, non-financial institutions, and financial institutions. Our results indicate that spanning tree measures for households reflected the boom and crisis: the maximum spanning tree measures had clear upward tendency in the bull markets when the bubble was building up, and, even more importantly, the minimum spanning tree measures pre-reacted the burst of bubble. At the same time, we find less clear reactions in minimal and maximal spanning trees of non-financial and financial institutions around the bubble, which suggest that household investors can have a greater herding tendency around bubbles.
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中文摘要：
我们通过从投资者特定净交易量之间的相关性构建网络来识别诺基亚股票的暂时投资者网络，并分析网络泡沫周围的变化。我们分别对家庭、非金融机构和金融机构进行分析。我们的结果表明，家庭的生成树度量反映了繁荣和危机：当泡沫形成时，最大生成树度量在牛市中有明显的上升趋势，更重要的是，最小生成树度量预先反应了泡沫的破裂。与此同时，我们发现非金融和金融机构围绕泡沫的最小和最大生成树中的反应不太明确，这表明家庭投资者可能会在泡沫周围有更大的羊群倾向。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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