Analysis of Empirical Investor Networks and Information Events in Stock Market
Institution: | Uppsala University |
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Department: | |
Year: | 2013 |
Keywords: | Engineering and Technology; Teknik och teknologier; Masterprogram i tillämpad beräkningsvetenskap; Master Programme in Computational Science |
Record ID: | 1358221 |
Full text PDF: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-215603 |
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.