Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies

Table 1

Summary statistics of our panel data on investors’ daily trading decisions over the period of 2016 to 2018.

Statistic	N	Mean	St. Dev.	Min	Pctl (25)	Median	Pctl (75)	Max
Investment variation (%)	356,172	9.267	68.389	−100.000	−6.680	0.510	8.770	499.879
1-day IBOVESPA variation	356,172	0.145	1.528	−4.870	−0.740	0.110	1.010	6.600
2-day IBOVESPA variation	355,796	0.323	2.160	−6.550	−1.140	0.290	1.600	9.130
3-day IBOVESPA variation	355,419	0.472	2.598	−7.950	−1.140	0.540	2.020	10.880
5-day IBOVESPA variation	354,588	0.781	3.274	−8.250	−1.230	0.770	2.750	16.870
30-day IBOVESPA variation	343,592	4.863	8.282	−19.060	−0.740	5.240	10.500	28.770
IBOVESPA index	356,176	0.145	1.528	−4.870	−0.740	0.110	1.010	6.600