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Goshima et al., 2019 - Google Patents

Trader classification by cluster analysis: Interaction between HFTs and other traders

Goshima et al., 2019

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Document ID
7239376959164310941
Author
Goshima K
Tobe R
Uno J
Publication year
Publication venue
Waseda University Institute for Business and Finance Working Paper Series

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Snippet

We classify groups of traders with similar trading characteristics through cluster analysis. This is a first attempt, as far as we know, to use cluster analysis to identify trader groups. We use the inventory ratio, order cancellation ratio, order frequency, and number of stocks per …
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