NDLI: Modeling Social Attention for Stock Analysis: An Influence Propagation Perspective

Content Provider	IEEE Xplore Digital Library
Author	Li Zhang Keli Xiao Qi Liu Yefan Tao Yuefan Deng
Copyright Year	2015
Description	Author affiliation: Stony Brook Univ., Stony Brook, NY, USA (Li Zhang; Keli Xiao; Yuefan Deng) \|\| Univ. of Sci. & Technol. of China, Hefei, China (Qi Liu; Yefan Tao)
Abstract	With the rapid growth of usage of social network, the patterns, the scales, and the rate of information exchange have brought profound impacts on research and practice in finance. One important topic is the stock market efficiency analysis. Traditional schemes in finance focus on identifying significant abnormal returns triggered by important events. However, those events are merely identified by regular financial announcements such as mergers, equity issuances, and financial reports. Related data-driven approaches mainly focus on developing trading strategies using social media data, while the results are usually lack of theoretical explanations. In this paper, we fill the gap between the usage of social media data and financial theories. We propose a Degree of Social Attention (DSA) framework for stock analysis based on influence propagation model. Specifically, we define the self-influence for users in a social network and the DSA for stocks. A recursive process is also designed for dynamic value updating. Furthermore, we provide two modified approaches to reduce the computational cost. Our testing results from the Chinese stock market suggest that the proposed framework effectively captures stock abnormal returns based on the related social media data, and DSA is verified to be a key factor to link social media activities to the stock market.
Starting Page	609
Ending Page	618
File Size	448758
Page Count	10
File Format	PDF
ISSN	15504786
e-ISBN	9781467395045
DOI	10.1109/ICDM.2015.117
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	Media Stock markets Social network services Finance Computational modeling Integrated circuit modeling Analytical models Market Efficiency Social Network Influence Propagation Stock Social Attention
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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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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