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

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00452317" target="_blank" >RIV/67985556:_____/15:00452317 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1016/j.physa.2015.02.057" target="_blank" >http://dx.doi.org/10.1016/j.physa.2015.02.057</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2015.02.057" target="_blank" >10.1016/j.physa.2015.02.057</a>

Result language

angličtina

Original language name

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

Original language description

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 togetherwith 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 s

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GP14-11402P" target="_blank" >GP14-11402P: Bivariate long memory analysis of financial time series</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Volume of the periodical

428

Issue of the periodical within the volume

1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

12

Pages from-to

194-205

UT code for WoS article

000352328100019

EID of the result in the Scopus database

2-s2.0-84923807398