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

Krištoufek, Ladislav

doi:https://dx.doi.org/10.1016/j.physa.2015.02.057

Number of the records: 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

1.

SYSNO ASEP	0452317
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
Author(s)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID}
Number of authors	1
Source Title	Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371 Roč. 428, č. 1 (2015), s. 194-205
Number of pages	12 s.
Publication form	Print - P
Language	eng - English
Country	NL - Netherlands
Keywords	Online searches ; Google Trends ; Long-term memory ; Cross-correlations ; Volatility ; Traded volume
Subject RIV	AH - Economics
R&D Projects	GP14-11402P GA ČR - Czech Science Foundation (CSF)
Institutional support	UTIA-B - RVO:67985556
UT WOS	000352328100019
EID SCOPUS	84923807398
DOI	10.1016/j.physa.2015.02.057
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2016

Number of the records: 1