4 papers
Forecasting Financial Market Structure from Network Features using Machine Learning
Douglas Castilho, Tharsis T. P. Souza, Soong Moon Kang +2
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as…
Predicting future stock market structure by combining social and financial network information
Thársis T. P. Souza, Tomaso 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 m…
Bull Bear Balance: A Cluster Analysis of Socially Informed Financial Volatility
Jonathan Manfield, Derek Lukacsko, Thársis T. P. Souza
Using a method rooted in information theory, we present results that have identified a large set of stocks for which social media can be informative regarding financial volatility.…
A nonlinear impact: evidences of causal effects of social media on market prices
Thársis T. P. Souza, Tomaso Aste
Online social networks offer a new way to investigate financial markets' dynamics by enabling the large-scale analysis of investors' collective behavior. We provide empirical evide…