web search queries can predict stock market volumes网络搜索查询可以预测股市交易量.pdfVIP

Web Search Queries Can Predict Stock Market Volumes 1 2 3,4,5 3 1 Ilaria Bordino , Stefano Battiston , Guido Caldarelli , Matthieu Cristelli *, Antti Ukkonen , Ingmar Weber1 1 Yahoo! Research, Barcelona, Spain, 2 ETH Chair of System Design, Zurich, Switzerland, 3 Institute of Complex Systems CNR, ‘‘Sapienza’’ University, Rome, Italy, 4 London Institute for Mathematical Sciences, London, United Kingdom, 5 IMT - Institute for Advanced Studies, Lucca, Italy Abstract 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 engi