Počet záznamů: 1

Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components

SYSNO ASEP	0452317
Druh ASEP	J - Článek v odborném periodiku
Zařazení RIV	J - Článek v odborném periodiku
Poddruh J	Článek ve WOS
Název	Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
Tvůrce(i)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID}
Celkový počet autorů	1
Zdroj.dok.	Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371 Roč. 428, č. 1 (2015), s. 194-205
Poč.str.	12 s.
Forma vydání	Tištěná - P
Jazyk dok.	eng - angličtina
Země vyd.	NL - Nizozemsko
Klíč. slova	Online searches ; Google Trends ; Long-term memory ; Cross-correlations ; Volatility ; Traded volume
Vědní obor RIV	AH - Ekonomie
CEP	GP14-11402P GA ČR - Grantová agentura ČR
Institucionální podpora	UTIA-B - RVO:67985556
UT WOS	000352328100019
EID SCOPUS	84923807398
DOI	10.1016/j.physa.2015.02.057
Anotace	We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms with a combination of the rescaled range and rescaled variance tests together with the detrended fluctuation analysis, we show that the searches are in fact power-law correlated with Hurst exponents between 0.8 and 1.1. The general interest in the DJIA stocks is thus strongly persistent. We further reinvestigate the cross-correlation structure between the searches, traded volume and volatility of the component stocks using the detrended cross-correlation and detrending moving-average cross-correlation coefficients. Contrary to the universal power-law correlations structure of the related Google searches, the results suggest that there is no universal relationship between the online search queries and the analyzed financial measures. Even though we confirm positive correlation for a majority of pairs, there are several pairs with insignificant or even negative correlations. In addition, the correlations vary quite strongly across scales.
Pracoviště	Ústav teorie informace a automatizace
Kontakt	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Rok sběru	2016

Počet záznamů: 1