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Correlating Financial Time Series with Micro-Blogging Activity

We study the problem of correlating micro-blogging activity with stock-market events, defined as changes in the price and traded volume of stocks. Specifically, we collect messages related to a number of companies, and we search for correlations between stock-market events for those companies and features extracted from the micro-blogging messages. The features we extract can be categorized in two groups. Features in the first group measure the overall activity in the micro-blogging platform, such as number of posts, number of re-posts, and so on. Features in the second group measure properties of an induced interaction graph, for instance, the number of connected components, statistics on the degree distribution, and other graph-based properties.

Reference: 
International Conference on Web Search and Data Mining (WSDM) 2012
Date of publication: 
2012
Authors: 
Ruiz EJ.
Hristidis V.
Castillo C.
Gionis A.
Jaimes A.