NDLI: Analysis on Stock Market Volatility with Collective Human Behaviors in Online Message Board

Content Provider	IEEE Xplore Digital Library
Author	Yun Jung Lee Hwan Gue Cho Gyun Woo
Copyright Year	2014
Description	Author affiliation: Dept. of Electr. & Comput. Eng., Pusan Nat. Univ., Busan, South Korea (Hwan Gue Cho; Gyun Woo) \|\| Creative Human Resource Dev., Pusan Nat. Univ., Busan, South Korea (Yun Jung Lee)
Abstract	The stock market is constantly changing and sometimes the stock prices unaccountably plummet and surge. So, the stock market is recognized as a complex system and the change on the stock prices is unpredictable. Recently, many researchers try to understand the stock market as the network between individual stocks and to discover a hint about the change of the stock prices from big data being created in real time from Internet. We focus on the correlation among the stock market and human interaction with the Internet especially stock message board. By analyzing changes in the article volumes for stocks, we find that the correlation strength of between the article volume and the stock price has relevance to the stock return. We propose a new method for recommending stock portfolio base on the result of our analysis. According to the simulated investment test, the returns of our portfolio is about 1.82% per month which is about 0.85% and 1.48% higher than that of the Markowitz's efficient portfolio and that of the KOSPI average respectively. This study presents that collective human behavior on Internet stock message board helps to better understand the stock market.
Starting Page	482
Ending Page	489
File Size	519993
Page Count	8
File Format	PDF
ISBN	9781479962396
DOI	10.1109/CIT.2014.151
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-09-11
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Stock market volatility Correlation Mood Social network analysis Companies Internet Stock market Stock markets Portfolios Collective human behavior Investment
Content Type	Text
Resource Type	Article

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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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