I know markets are by large anonymous, is there any current research or data sources publicly available across different exchanges and/or investment instruments on the profiles of their investors?
I think any information like this will likely be an approximation, but still be interesting to see how it correlates to human behavior based strategies like momentum or mean reversal.
I am looking for information like >
What is the average portfolio size? What is the average asset holding time? % of assets hold by institutional investors? % of trades executed by algorithms? % trades executed by hedge funds? What is the ratio of short vs long positions?
My alternative idea is to combine several sources like 13F reports, CFTC reports for the futures to build this data. What would be good reports to look at for building this? I can handle the data cleaning and merging I just don't know the industry.