摘要翻译：
我们研究了新兴市场中最活跃的个人和机构投资者的库存变化的互相关矩阵$C_{ij}$，以了解库存变化的动力学。我们发现互相关系数C_{ij}_在总体上呈幂律分布，其次是指数尾分布，且正相关系数多于负相关系数。另外，两个个体或两个机构比一个个体和一个机构具有更强的库存变动相关性的可能性更大。我们发现相关矩阵的最大和第二大特征值($\lambda_1$和$\lambda_2$)不能用随机矩阵理论来解释，库存变化在第一特征向量$u(\lambda_1)$上的投影与股票收益呈线性相关，其中个人投资者起主导作用。根据库存变动与股票收益之间的互相关系数C_{VR}$将投资者分为三类。一半的个体是逆向投资者，表现出明显的买卖羊群行为，而6%的个体是趋势投资者。对于机构来说，只有10%和8%的投资者是趋势型和反转型投资者。揭示了股票收益与库存变化之间存在着强Granger因果关系，这意味着很大一部分人持有反转交易策略，而一小部分人持有趋势交易策略。与西班牙市场的情况相比，中国投资者表现出共性和市场特殊性的行为。我们的实证结果对于理解投资者的交易行为和构建基于代理的股票市场模型具有重要的科学意义。
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英文标题：
《Random matrix approach to the dynamics of stock inventory variations》
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作者：
W.-X. Zhou (ECUST), G.-H. Mu (ECUST), J. Kert\'esz (BME)
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  We study the cross-correlation matrix $C_{ij}$ of inventory variations of the most active individual and institutional investors in an emerging market to understand the dynamics of inventory variations. We find that the distribution of cross-correlation coefficient $C_{ij}$ has a power-law form in the bulk followed by exponential tails and there are more positive coefficients than negative ones. In addition, it is more possible that two individuals or two institutions have stronger inventory variation correlation than one individual and one institution. We find that the largest and the second largest eigenvalues ($\lambda_1$ and $\lambda_2$) of the correlation matrix cannot be explained by the random matrix theory and the projection of inventory variations on the first eigenvector $u(\lambda_1)$ are linearly correlated with stock returns, where individual investors play a dominating role. The investors are classified into three categories based on the cross-correlation coefficients $C_{VR}$ between inventory variations and stock returns. Half individuals are reversing investors who exhibit evident buy and sell herding behaviors, while 6% individuals are trending investors. For institutions, only 10% and 8% investors are trending and reversing investors. A strong Granger causality is unveiled from stock returns to inventory variations, which means that a large proportion of individuals hold the reversing trading strategy and a small part of individuals hold the trending strategy. Comparing with the case of Spanish market, Chinese investors exhibit common and market-specific behaviors. Our empirical findings have scientific significance in the understanding of investors' trading behaviors and in the construction of agent-based models for stock markets.
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PDF链接：
https://arxiv.org/pdf/1201.0433