1,720,960 research outputs found
Forecasting financial markets with online information
No full textThis thesis explores the relationship between what investors say on online social media and price movements in financial markets. Recent studies have applied techniques from the natural language processing literature to distil the content of blogs, micro-blogs and user generated content sites to a ‘sentiment’ measure, pertaining to whether the content is good or bad for a given stock. Sentiment is then measured over a time series and compared to stock price returns. There is general agreement in the literature that a relationship between online sentiment and returns exists, but the strength, sign and timing of this relationship vary across studies.In this thesis I argue that this type of sign-strength-timing variability is an inherent part of the sentiment-price relationship. My rationale for this is that existing sentiment metrics miss important contextual information that can significantly alter the interpretation of a piece of text. The fact that sentiment measures lack this type of contextual awareness means that the relationship between sentiment and price will vary based on factors that are latent from the sentiment measure.Based on this argument I make three key contributions in this thesis: firstly, I document significant evidence that sign, strength and timing variability are a characteristic feature of the online textual sentiment-price relationship. Secondly, I develop a novel time series analysis methodology, signal diffusion mapping (SDM), that is capable of modelling and forecasting effectively based on relationships that are characterised by this type of variability. Third, I show that when appropriately modelled using SDM, it is possible to use the sentiment signal to forecast prices. Using this methodology I document that the sentiment-price relationship is much stronger than has previously been assumed in the literature. I go on to show it is possible to develop trading strategies based on SDM that generate excess returns once reasonable costs have been accounted for.I conclude that there is economically meaningful financial information in online social media, and that a characteristic of this information with respect to prices is variability. Modelling variability more accurately using SDM opens the possibility for using online information directly in asset pricing models or trading strategies
Where and about what? Price relevant narratives depend on topic and media type
No full textThe role of traditional or social media-expressed tone on stock prices is nuanced. Negative tone of traditional media articles is much more likely to convey material information than web messages. Some topics, regardless of source, are unusually negative, causing fluctuations in investor sentiment and temporary price deviations
An investigation into correlations between financial sentiment and prices in financial markets
No full textThere is now a small but growing literature showing some relationship between sentiment contained within blogs, online news article and message boards and price movements in financial markets. Typically, researchers use keyword searching to find financially relevant messages, then rate them in terms of their how positive or negative the sentiment they contain is in relation to prices.Through an exploratory analysis of the statistical nature of word frequency movements on Twitter, we highlight some issues with this approach and define how a sentiment variable could be constructed to generate well specified linear regression models.We then address a second issue of how to model time. Current research has used units of a day or week for both sentiment and price series. There is no discussion in the literature in this area as to what the best unit of time might be, or indeed, if there is a weekly topology to sentiment price correlations. We present two models which explore how these factors affect sentiment-price correlations.Finally we present results correlating financial sentiment on Twitter to the price of the Standard and Poor's Index of 500 Leading Shares. We report both contemporaneous (R squared values up to 0.35) and predictive correlations (R squared values up to 0.27) between our sentiment metric and prices. Scale and weekly topology both appear significant factors that would benefit inclusion in future models.<br/
Signal diffusion mapping: optimal forecasting with time varying lags
No full textWe introduce a new methodology for forecasting which we call Signal Diffusion Mapping. Our approach accommodates features of real world financial data which have been ignored historically in existing forecasting methodologies. Our method builds upon well-established and accepted methods from other areas of statistical analysis. We develop and adapt those models for use in forecasting. We also present tests of our model on data in which we demonstrate the efficacy of our approach
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Examining Wikipedia across linguistic and temporal borders
No full textThe Web has grown to be an integral part of modern society offering novel ways for humans to communicate, interact, and share information. New collaborative platforms are forming which are providing individuals with new communities and knowledge bases and, at the same time, offering insights into human activity for researchers, policy-makers and engineers. On a global scale, the role of cultural and language barriers when studying such phenomena becomes particularly relevant and presents significant challenges: due to insufficient information, it is often hard to establish the cultural or language groups in which individuals belong, while there are technical difficulties in establishing the relevance and in analysing resources in different languages. This paper presents a framework to the end of addressing those issues by leveraging data on the use of Wikipedia. Resources available in different languages are explicitly correlated in Wikipedia along with time-stamped logs of access to its articles. This paper provides a framework to enable temporal page views in Wikipedia to be associated with specific geographic profiles. This framework is then used to examine the exchange of information between the English speaking and Chinese speaking localities and reports initial findings on the role of language and culture in diffusion in this context
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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