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Web Search Queries Can Predict Stock Market Volumes

Bordino, Ilaria and Battiston, Stefano and Caldarelli, Guido and Cristelli, Matthieu and Ukkonen, Antti and Weber, Ingmar Web Search Queries Can Predict Stock Market Volumes. PloS One, 7 (7). e40014. ISSN 1932-6203 (2012)

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We live in a computerized and networked society where many of our actions leave a digital trace and affect other people’s actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science, statistical physics and sociometry provide insights on a wide range of disciplines ranging from social science to human mobility. A recent important discovery is that search engine traffic (i.e., the number of requests submitted by users to search engines on the www) can be used to track and, in some cases, to anticipate the dynamics of social phenomena. Successful examples include unemployment levels, car and home sales, and epidemics spreading. Few recent works applied this approach to stock prices and market sentiment. However, it remains unclear if trends in financial markets can be anticipated by the collective wisdom of on-line users on the web. Here we show that daily trading volumes of stocks traded in NASDAQ-100 are correlated with daily volumes of queries related to the same stocks. In particular, query volumes anticipate in many cases peaks of trading by one day or more. Our analysis is carried out on a unique dataset of queries, submitted to an important web search engine, which enable us to investigate also the user behavior. We show that the query volume dynamics emerges from the collective but seemingly uncoordinated activity of many users. These findings contribute to the debate on the identification of early warnings of financial systemic risk, based on the activity of users of the www.

Item Type: Article
Projects: EC FET Open Project “FOC” No. 255987
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Q Science > QC Physics
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 30 Jul 2012 11:14
Last Modified: 07 Apr 2016 09:29
URI: http://eprints.imtlucca.it/id/eprint/1328

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