NDLI: The Impact of Patent Activities on Stock Dynamics in the High-Tech Sector

Content Provider	IEEE Xplore Digital Library
Author	Vitt, C.A. Hui Xiong
Copyright Year	2015
Description	Author affiliation: Manage. Sci. & Inf. Syst. Dept., Rutgers Univ., Rutgers, NJ, USA (Vitt, C.A.; Hui Xiong)
Abstract	Patent data has been used for generating patent-based indicators for tracking the technology development of high-tech companies. In this paper, we further show the promises of exploiting patent data for the analysis and prospecting of high-tech companies in the stock market. Specifically, we aim at investigating the relationship between the patent activities of high-tech companies and the dynamics of their stock price movement. While stock forecasting is a topic of general interest and has been studied extensively in the literature, the most popular forecasting models do not facilitate the discovery of the patent-activity impact all essential characteristics of the market performance of a given stock. To this end, we propose a new approach to analyze the relationships between patent activities and the statistical characteristics of stock prices. To the best of our knowledge, we are the first to propose a model of this nature, relating patent data mining and financial modeling. Also, we demonstrate the relationships of the market-adjusted stock returns and the number of patent applications as well as the diversity of the corresponding patent categories. Moreover, we establish relationships between the monthly drift and volatility of the market-adjusted stock returns and those patent activity indicators. Here, we exploit a widely accepted diffusion model of the stock returns and estimate its parameters. By adopting the moving window technique, we create fitted models by introducing various lagged terms of patent activity characteristics. For each company, we consider the coefficients of each significant term over the entire time horizon and perform further statistical testing on the overall significance of the corresponding indicator. The analysis has been performed on real-world stock trading data as well as patent data. The results confirm the significant impact of patent activity on stock movement and on its essential statistical characteristics of drift and volatility.
Starting Page	399
Ending Page	408
File Size	436667
Page Count	10
File Format	PDF
ISSN	15504786
e-ISBN	9781467395045
DOI	10.1109/ICDM.2015.95
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2015-11-14
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Patents Companies Biological system modeling Stock markets Technological innovation Data mining Data models Factor Analysis Patent Data Mining Time-series Analysis
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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