Abstract
Using the transaction history of all the clients of an on-line broker, we analyse the daily aggregated investment fluxes of individual investors, companies, and asset managers. Computing the probability that price returns and daily investment fluxes have the same sign provides a robust characterisation of contrarian behaviour. The three categories are found to be contrarian, but with widely different intensities. Individual investors are by far the most contrarian of the three, followed by companies. Asset managers are only mildly contrarian with respect positive price returns.
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Notes
- 1.
It is however possible to attempt market reverse-engineering with agent-based models, as pioneered in [5].
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Acknowledgements
DC warmly thanks Fabrizio Pomponio and Riadh Zaatour for their help with Thomson-Reuters data; DMdL is grateful to Swissquote Bank SA for financial support. DC acknowledges useful discussions with the participants of Kolkata Econophys VI conference.
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Challet, D., Morton de Lachapelle, D. (2013). A Robust Measure of Investor Contrarian Behaviour. In: Abergel, F., Chakrabarti, B., Chakraborti, A., Ghosh, A. (eds) Econophysics of Systemic Risk and Network Dynamics. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-2553-0_7
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