We investigate the technical problem of community and clique detection in investor network. We introduce a pruning technique for investor clique enumeration based on specific economic and financial contexts. It can be incorporated into the central clique solver to reduce the computing time and...

We estimate investor stock trading networks based on Granger Causality under vector autoregressive model. The obtained network is directed, and this can capture the flow of information and trading patterns across the portfolio. For most securities, the investor stock trading network forms a...

We introduce various network similarity measures that can capture the topological changes of investor networks over time. We use them to study the joint dynamics of investor networks and stock price time series. We find that the network changes are positively correlated with volatility while...

In this paper, we ask whether the structure of investor networks, which are estimated using shareholder registration data, is abnormal during financial crises. We answer this question by analyzing the structure of investor networks through 10 prominent features. The networks are estimated from...