News Sentiment Analysis Using R to Predict Stock Market Trends
Can Google predict the stock market?
20
Can Google predict the stock market? Tobias Preis http://www.tobiaspreis.de
Transcript of Can Google predict the stock market?
Can Google predict the stock market?
Tobias Preishttp://www.tobiaspreis.de
Financial markets: “big data”
The internet: “big data”
What Google knows about markets
Aggregated Information(a)
(b)Index points
Public interest in stock exchange related search words (Google Trends)
Subprime
2004 2005 2006 2007 2008 2009
S&P 500
Lehman Brothers
Financial Crisis
Search volume index
Google search volume data
Preis, Reith & Stanley, Phil. Trans. R. Soc. A 368, 5707 (2010)
Covered by
Aggregated InformationGoogle Trends based trading strategy
Search volume decreased: BUY index
in week t+1
no of Google searches for keyword
week t t-1 t-2 t-3
Aggregated InformationGoogle Trends based trading strategy
Search volume decreased: BUY index
in week t+1
Search volume increased: SELL index
in week t+1
no of Google searches for keyword
week t t-1 t-2 t-3
OutperformanceGoogle trading strategy for keyword “culture”
Time, t [Years]
−40−20
0204060
2004 2005 2006 2007 2008 2009 2010 2011
’culture’5
16
Pro"
t and
Los
s [%
]
Buy and Hold StrategyGoogle Trends Strategyμ + σ, μ, μ − σ of Random Strategy
Preis, Moat & Stanley, Scienti!c Reports 3, 1684 (2013)http://www.nature.com/srep/2013/130425/srep01684/full/srep01684.html
OutperformanceGoogle trading strategy for keyword “debt”Pr
o!t a
nd L
oss [
%]
Time, t [Years]2004 2005 2006 2007 2008 2009 2010 2011
0100200300 326
16
‘debt’
Buy and Hold StrategyGoogle Trends Strategyμ + σ, μ, μ − σ of Random Strategy
Preis, Moat & Stanley, Scienti!c Reports 3, 1684 (2013)http://www.nature.com/srep/2013/130425/srep01684/full/srep01684.html
OutperformanceGoogle trading strategy for keyword “debt”Pr
o!t a
nd L
oss [
%]
Time, t [Years]2004 2005 2006 2007 2008 2009 2010 2011
0100200300 326
16
‘debt’
Buy and Hold StrategyGoogle Trends Strategyμ + σ, μ, μ − σ of Random Strategy
Preis, Moat & Stanley, Scienti!c Reports 3, 1684 (2013)http://www.nature.com/srep/2013/130425/srep01684/full/srep01684.html
Covered by
Outperformance
Covered by
Google trading strategy
Preis, Moat & Stanley, Scienti!c Reports 3, 1684 (2013)http://www.nature.com/srep/2013/130425/srep01684/full/srep01684.html
What makes a keyword successful?
Quantifying PatternsWhat makes a keyword successful?
Preis, Moat & Stanley, Scienti!c Reports 3, 1684 (2013)http://www.nature.com/srep/2013/130425/srep01684/full/srep01684.html
“debt”
Random strategy mean + 2 sds
Random strategy mean + 1 sd
return (random strategy sds)
0
1
2
-1
“culture”
Quantifying PatternsWhat makes a keyword successful?
Preis, Moat & Stanley, Scienti!c Reports 3, 1684 (2013)http://www.nature.com/srep/2013/130425/srep01684/full/srep01684.html
“debt”
Random strategy mean + 2 sds
Random strategy mean + 1 sd
return (random strategy sds)
0
1
2
-1
“culture”
“garden”
“train”
“stocks”
“credit”
Quantifying PatternsWhat makes a keyword successful?
Preis, Moat & Stanley, Scienti!c Reports 3, 1684 (2013)
Random strategy mean + 2 sds
Random strategy mean + 1 sd
return (random strategy sds)
0
1
2
-1
# occurrences in FT
# hits on Google
Financial relevanceSigni!cantly correlatedwith returns
What Wikipedia knows about markets
Quantifying PatternsWikipedia: Financial topics
Moat, Curme, Avakian, Kenett, Stanley & Preis, Scienti!c Reports 3, 1801 (2013)http://www.nature.com/srep/2013/130508/srep01801/full/srep01801.html
Covered by
Views strategiespro!table
0.00
0.25
0.50
0.75
1.00
−2 0 2Return [Std. Dev. of Random Strategies]
Den
sity
Wikipedia ViewsFinancial Topics
Wikipedia EditsFinancial Topics
RandomStrategy
Quantifying PatternsWikipedia: Dow Jones companies
Moat, Curme, Avakian, Kenett, Stanley & Preis, Scienti!c Reports 3, 1801 (2013)http://www.nature.com/srep/2013/130508/srep01801/full/srep01801.html
Covered by
Return [Std. Dev. of Random Strategies]
Den
sity
0.0
0.2
0.4
0.6
−2 0 2
Wikipedia ViewsDJIA Companies
Wikipedia EditsDJIA Companies
RandomStrategy
Views strategiespro!table
Quantifying PatternsWikipedia: Actors and !lmmakers?
0.0
0.1
0.2
0.3
0.4
−2 0 2Return [Std. Dev. of Random Strategies]
Den
sity
Wikipedia ViewsActors & Filmmakers
RandomStrategy
Moat, Curme, Avakian, Kenett, Stanley & Preis, Scienti!c Reports 3, 1801 (2013)http://www.nature.com/srep/2013/130508/srep01801/full/srep01801.html
Covered by
Strategies NOTpro!table
