Resumo:
We provide empirical evidence that suggests social media and stock markets
have a nonlinear causal relationship. We take advantage of an extensive data set composed
of social media messages related to DJIA index components. By using information-theoretic
measures to cope for possible nonlinear causal coupling between social media and stock
markets systems, we point out stunning differences in the results with respect to linear
coupling. Two main conclusions are drawn: First, social media significant causality on stocks’
returns are purely nonlinear in most cases; Second, social media dominates the directional
coupling with stock market, an effect not observable within linear modeling. Results also
serve as empirical guidance on model adequacy in the investigation of sociotechnical and
financial systems.
A nonlinear impact: evidences of causal effects of socialmedia on market prices -Thársis T. P. Souza1 e Tomaso Aste1,
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