  Multilayer networks are attracting growing attention in many fields,
including finance. In this paper, we develop a new tractable procedure for
multilayer aggregation based on statistical validation, which we apply to
investor networks. Moreover, we propose two other improvements to their
analysis: transaction bootstrapping and investor categorization. The
aggregation procedure can be used to integrate security-wise and time-wise
information about investor trading networks, but it is not limited to finance.
In fact, it can be used for different applications, such as gene,
transportation, and social networks, were they inferred or observable.
Additionally, in the investor network inference, we use transaction
bootstrapping for better statistical validation. Investor categorization allows
for constant size networks and having more observations for each node, which is
important in the inference especially for less liquid securities. Furthermore,
we observe that the window size used for averaging has a substantial effect on
the number of inferred relationships. We apply this procedure by analyzing a
unique data set of Finnish shareholders during the period 2004-2009. We find
that households in the capital have high centrality in investor networks,
which, under the theory of information channels in investor networks suggests
that they are well-informed investors.

Trading and Market Microstructure