Related papers: Communication impacting financial markets
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
Prediction markets mobilize financial incentives to forecast binary event outcomes through the aggregation of dispersed beliefs and heterogeneous information. Their growing popularity and demonstrated predictive accuracy in political…
The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…
We build a new measure of credit and financial market sentiment using Natural Language Processing on Twitter data. We find that the Twitter Financial Sentiment Index (TFSI) correlates highly with corporate bond spreads and other price- and…
Conjunct with the universal acceleration in information growth, financial services have been immersed in an evolution of information dynamics. It is not just the dramatic increase in volumes of data, but the speed, the complexity and the…
We propose a mathematical model for the word-of-mouth communications among stock investors through social networks and explore how the changes of the investors' social networks influence the stock price dynamics and vice versa. An investor…
Opinion evolution and judgment revision are mediated through social influence. Based on a large crowdsourced in vitro experiment (n=861), it is shown how a consensus model can be used to predict opinion evolution in online collective…
Along with the advance of opinion mining techniques, public mood has been found to be a key element for stock market prediction. However, how market participants' behavior is affected by public mood has been rarely discussed. Consequently,…
Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
Recent research shows that humans are heavily influenced by online social interactions: We are more likely to perform actions which, in the past, have led to positive social feedback. We introduce a quantitative model of behavior changes in…
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of…
With the rapid development of big data and computing devices, low-latency automatic trading platforms based on real-time information acquisition have become the main components of the stock trading market, so the topic of quantitative…
Nowadays, internet has changed the world into a global village. Social Media has reduced the gaps among the individuals. Previously communication was a time consuming and expensive task between the people. Social Media has earned fame…
Sentiment analysis as a sub-field of natural language processing has received increased attention in the past decade enabling organisations to more effectively manage their reputation through online media monitoring. Many drivers impact…
Decisions by humans depend on their estimations given some uncertain sensory data. These decisions can also be influenced by the behavior of others. Here we present a mathematical model to quantify this influence, inviting a further study…
We reformulate the Cont-Bouchaud model of financial markets in terms of classical "super-spins" where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend…
We process private equity transactions to predict public market behavior with a logit model. Specifically, we estimate our model to predict quarterly returns for both the broad market and for individual sectors. Our hypothesis is that…