In a synthetic limit order book market with 15 known trader types, supervised classifiers identify the types almost perfectly while unsupervised clustering merges very different types, showing that unlabelled cluster solutions can mislead investor profiling.
and Kassibrakis, S., Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
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Classifying and Clustering Trading Agents
In a synthetic limit order book market with 15 known trader types, supervised classifiers identify the types almost perfectly while unsupervised clustering merges very different types, showing that unlabelled cluster solutions can mislead investor profiling.