Correlating financial time series with micro-blogging activity
Published 8 February 2012
Eduardo Ruiz, Vagelis Hristidis, Carlos Castillo, Aristides Gionis, Alejandro Jaimes
Citations276
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TL;DR
The problem of correlating micro-blogging activity with stock-market events, defined as changes in the price and traded volume of stocks, is studied and it is shown that even relatively small correlations between price and micro- bloggers features can be exploited to drive a stock trading strategy that outperforms other baseline strategies.
Abstract
We study the problem of correlating micro-blogging activity with stock-market events, defined as changes in the price and traded volume of stocks. Specifically, we collect messages related to a number of companies, and we search for correlations between stock-market events for those companies and features extracted from the micro-blogging messages. The features we extract can be categorized in two groups. Features in the first group measure the overall activity in the micro-blogging platform, such as number of posts, number of re-posts, and so on. Features in the second group measure properties of an induced interaction graph, for instance, the number of connected components, statistics on the degree distribution, and other graph-based properties.
Keywords
Economics, Econometrics and FinancePhysics and Astronomy
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