Journal
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES
Volume 368, Issue 1933, Pages 5707-5719Publisher
ROYAL SOC
DOI: 10.1098/rsta.2010.0284
Keywords
econophysics; cross correlations; autocorrelations; financial markets; search engine queries; pattern recognition
Categories
Ask authors/readers for more resources
Search engine query data deliver insight into the behaviour of individuals who are the smallest possible scale of our economic life. Individuals are submitting several hundred million search engine queries around the world each day. We study weekly search volume data for various search terms from 2004 to 2010 that are offered by the search engine Google for scientific use, providing information about our economic life on an aggregated collective level. We ask the question whether there is a link between search volume data and financial market fluctuations on a weekly time scale. Both collective 'swarm intelligence' of Internet users and the group of financial market participants can be regarded as a complex system of many interacting subunits that react quickly to external changes. We find clear evidence that weekly transaction volumes of S&P 500 companies are correlated with weekly search volume of corresponding company names. Furthermore, we apply a recently introduced method for quantifying complex correlations in time series with which we find a clear tendency that search volume time series and transaction volume time series show recurring patterns.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available