Identify Retail Investors
Retail investors and their trading behaviour attract many research interests. One strand of literature uses proprietary datasets to identify retail investors. The other uses algorithms. A recent JF paper Boehmer et al. (2021) proposes a simple one based only on the trade price, which also signs the trade direction effectively. Even more interestingly, I just read a follow-up work forthcoming on JF by Barber et al. (2023). The authors placed 85,000 retail trades themselves to validate the Boehmer et al. (2021) algorithm.