Predicting future stock market structure by combining social and financial network information

26 Nov 2018Thársis T. P. SouzaTomaso Aste

We demonstrate that future market correlation structure can be predicted with high out-of-sample accuracy using a multiplex network approach that combines information from social media and financial data. Market structure is measured by quantifying the co-movement of asset prices returns, while social structure is measured as the co-movement of social media opinion on those same assets... (read more)

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