53 research outputs found
Quantifying crowd size with mobile phone and Twitter data
This is the final published version, also available from The Royal Society via the DOI in this record.Being able to infer the number of people in a specific area is of extreme importance for the avoidance of crowd disasters and to facilitate emergency evacuations. Here, using a football stadium and an airport as case studies, we present evidence of a strong relationship between the number of people in restricted areas and activity recorded by mobile phone providers and the online service Twitter. Our findings suggest that data generated through our interactions with mobile phone networks and the Internet may allow us to gain valuable measurements of the current state of society.Engineering and Physical Sciences Research Council (EPSRC
In search of art: rapid estimates of gallery and museum visits using Google Trends
This is the final version. Available from EDP Sciences via the DOI in this record. All data sets are publicly available through the DCMS website [38] and Google Trends [50].Measuring collective human behaviour has traditionally been a time-consuming and expensive process, impairing the speed at which data can be made available to decision makers in policy. Can data generated through widespread use of online services help provide faster insights? Here, we consider an example relating to policymaking for culture and the arts: publicly funded museums and galleries in the UK. We show that data on Google searches for museums and galleries can be used to generate estimates of their visitor numbers. Crucially, we find that these estimates can be generated faster than traditional measurements, thus offering policymakers early insights into changes in cultural participation supported by public funds. Our findings provide further evidence that data on our use of online services can help generate timely indicators of changes in society, so that decision makers can focus on the present rather than the past.ESRCAlan Turing InstituteEPSR
Quantifying stock return distributions in financial markets
This is the final version. Available from Public Library of Science via the DOI in this record. Data Availability: Relevant data were obtained by the authors from the third party Wharton Research Data Services. Raw data sets from the Trades and Quotes database are available from the following URL: https://wrds-web.wharton.upenn.edu/wrds/.Being able to quantify the probability of large price changes in stock markets is of crucial importance in understanding financial crises that affect the lives of people worldwide. Large changes in stock market prices can arise abruptly, within a matter of minutes, or develop across much longer time scales. Here, we analyze a dataset comprising the stocks forming the Dow Jones Industrial Average at a second by second resolution in the period from January 2008 to July 2010 in order to quantify the distribution of changes in market prices at a range of time scales. We find that the tails of the distributions of logarithmic price changes, or returns, exhibit power law decays for time scales ranging from 300 seconds to 3600 seconds. For larger time scales, we find that the distributions tails exhibit exponential decay. Our findings may inform the development of models of market behavior across varying time scales.EPSRCIARPANS
Early Prediction of Movie Box Office Success based on Wikipedia Activity Big Data
Use of socially generated "big data" to access information about collective
states of the minds in human societies has become a new paradigm in the
emerging field of computational social science. A natural application of this
would be the prediction of the society's reaction to a new product in the sense
of popularity and adoption rate. However, bridging the gap between "real time
monitoring" and "early predicting" remains a big challenge. Here we report on
an endeavor to build a minimalistic predictive model for the financial success
of movies based on collective activity data of online users. We show that the
popularity of a movie can be predicted much before its release by measuring and
analyzing the activity level of editors and viewers of the corresponding entry
to the movie in Wikipedia, the well-known online encyclopedia.Comment: 13 pages, Including Supporting Information, 7 Figures, Download the
dataset from: http://wwm.phy.bme.hu/SupplementaryDataS1.zi
Twitter-based analysis of the dynamics of collective attention to political parties
Large-scale data from social media have a significant potential to describe
complex phenomena in real world and to anticipate collective behaviors such as
information spreading and social trends. One specific case of study is
represented by the collective attention to the action of political parties. Not
surprisingly, researchers and stakeholders tried to correlate parties' presence
on social media with their performances in elections. Despite the many efforts,
results are still inconclusive since this kind of data is often very noisy and
significant signals could be covered by (largely unknown) statistical
fluctuations. In this paper we consider the number of tweets (tweet volume) of
a party as a proxy of collective attention to the party, identify the dynamics
of the volume, and show that this quantity has some information on the
elections outcome. We find that the distribution of the tweet volume for each
party follows a log-normal distribution with a positive autocorrelation of the
volume over short terms, which indicates the volume has large fluctuations of
the log-normal distribution yet with a short-term tendency. Furthermore, by
measuring the ratio of two consecutive daily tweet volumes, we find that the
evolution of the daily volume of a party can be described by means of a
geometric Brownian motion (i.e., the logarithm of the volume moves randomly
with a trend). Finally, we determine the optimal period of averaging tweet
volume for reducing fluctuations and extracting short-term tendencies. We
conclude that the tweet volume is a good indicator of parties' success in the
elections when considered over an optimal time window. Our study identifies the
statistical nature of collective attention to political issues and sheds light
on how to model the dynamics of collective attention in social media.Comment: 16 pages, 7 figures, 3 tables. Published in PLoS ON
The Effects of Twitter Sentiment on Stock Price Returns
Social media are increasingly reflecting and influencing behavior of other
complex systems. In this paper we investigate the relations between a well-know
micro-blogging platform Twitter and financial markets. In particular, we
consider, in a period of 15 months, the Twitter volume and sentiment about the
30 stock companies that form the Dow Jones Industrial Average (DJIA) index. We
find a relatively low Pearson correlation and Granger causality between the
corresponding time series over the entire time period. However, we find a
significant dependence between the Twitter sentiment and abnormal returns
during the peaks of Twitter volume. This is valid not only for the expected
Twitter volume peaks (e.g., quarterly announcements), but also for peaks
corresponding to less obvious events. We formalize the procedure by adapting
the well-known "event study" from economics and finance to the analysis of
Twitter data. The procedure allows to automatically identify events as Twitter
volume peaks, to compute the prevailing sentiment (positive or negative)
expressed in tweets at these peaks, and finally to apply the "event study"
methodology to relate them to stock returns. We show that sentiment polarity of
Twitter peaks implies the direction of cumulative abnormal returns. The amount
of cumulative abnormal returns is relatively low (about 1-2%), but the
dependence is statistically significant for several days after the events
Market Imitation and Win-Stay Lose-Shift Strategies Emerge as Unintended Patterns in Market Direction Guesses.
Decisions made in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market provides a rich environment to study how people make decisions since responding to market uncertainty needs a constant update of these strategies. For this purpose, we run a lab-in-the-field experiment where volunteers are given a controlled set of financial information -based on real data from worldwide financial indices- and they are required to guess whether the market price would go "up" or "down" in each situation. From the data collected we explore basic statistical traits, behavioural biases and emerging strategies. In particular, we detect unintended patterns of behavior through consistent actions, which can be interpreted as Market Imitation and Win-Stay Lose-Shift emerging strategies, with Market Imitation being the most dominant. We also observe that these strategies are affected by external factors: the expert advice, the lack of information or an information overload reinforce the use of these intuitive strategies, while the probability to follow them significantly decreases when subjects spends more time to make a decision. The cohort analysis shows that women and children are more prone to use such strategies although their performance is not undermined. Our results are of interest for better handling clients expectations of trading companies, to avoid behavioural anomalies in financial analysts decisions and to improve not only the design of markets but also the trading digital interfaces where information is set down. Strategies and behavioural biases observed can also be translated into new agent based modelling or stochastic price dynamics to better understand financial bubbles or the effects of asymmetric risk perception to price drops
Behavioural consistency, statistical specification and the validity in the contingent ranking method Evidence from a survey on the impacts of pesticide use in the U.K
SIGLEAvailable from British Library Document Supply Centre-DSC:3490.1797(97-09) / BLDSC - British Library Document Supply CentreGBUnited Kingdo
Emerging practices and perspectives on Big Data analysis in economics: Bigger and better or more of the same?
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