群体化揭露:对加密货币,股票和美国ETF的洞察
An Pham Ngoc Nguyen1,2, Martin Crane1,3, Thomas Conlon4
1School of Computing, Dublin City University, Dublin, Ireland.
PloS one
|February 3, 2025
概括
对市场稳定构成风险的投资者群体行为,在股票,美国ETF和加密货币之间进行了检查. 这项研究揭示了群体化发生在子集层面,由特定事件驱动,美国ETF放大了趋势.
科学领域:
- 金融市场是金融市场.
- 行为金融是行为金融.
- 市场稳定性 市场稳定性
背景情况:
- 集群行为对资产估值和市场稳定构成风险.
- 现有的研究往往侧重于单一的资产类别或更广泛的市场水平.
- 最近具有影响力的事件为分析提供了新的数据集.
研究的目的:
- 调查跨股票,美国ETF和加密货币的群体行为.
- 在粒度社区 (子集) 层面分析畜牧业.
- 探索不同投资工具之间的金融传染效应.
主要方法:
- 个别资产类别的横截面绝对偏差模型.
- 基于图表的技术 (最小跨度树,卢凡社区检测) 用于子集分析.
- 分析投资工具之间的金融传染效应.
主要成果:
- 在股票和美国ETF中观察到类似的群体模式.
- 群体行为在所有资产类型的子集水平上始终存在.
- 美国ETF传播股票和加密货币的交易行为,并表现出自我强化的趋势.
- 确定了驱动子集水平放牧的特定事件.
结论:
- 集群行为是金融市场中细粒度层面的普遍现象.
- 美国ETF在驱动和放大群体行为方面发挥着重要作用.
- 了解子集水平的群体化对于评估市场稳定性和传染风险至关重要.
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