英文标题：
《Clusters of investors around Initial Public Offering》
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作者：
Margarita Baltakien\\.e, K\\k{e}stutis Baltakys, Juho Kanniainen, Dino
Pedreschi and Fabrizio Lillo
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最新提交年份：
2019
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英文摘要：
The complex networks approach has been gaining popularity in analysing investor behaviour and stock markets, but within this approach, initial public offerings (IPO) have barely been explored. We fill this gap in the literature by analysing investor clusters in the first two years after the IPO filing in the Helsinki Stock Exchange by using a statistically validated network method to infer investor links based on the co-occurrences of investors\' trade timing for 69 IPO stocks. Our findings show that a rather large part of statistically similar network structures form in different securities and persist in time for mature and IPO companies. We also find evidence of institutional herding.
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中文摘要：
复杂网络方法在分析投资者行为和股市方面越来越受欢迎，但在这种方法中，首次公开募股（IPO）几乎没有被探索过。我们通过分析赫尔辛基证券交易所首次公开募股申请后前两年的投资者集群，利用经统计验证的网络方法，根据69只首次公开募股股票的投资者交易时机的共现情况推断投资者联系，填补了文献中的这一空白。我们的研究结果表明，在不同的证券中形成了相当大一部分统计上相似的网络结构，并且对于成熟和首次公开募股的公司来说，这种网络结构持续时间较长。我们还发现了机构放牧的证据。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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