Big Data Investments.
Jan. Becker
Bok Engelsk 2015 · Electronic books.
| Omfang | 1 online resource (88 pages)
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|---|---|
| Utgave | 1st ed.
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| Opplysninger | Big Data Investments: Effects of Internet Search Queries on German Stocks -- Vorwort -- Abstract -- Table of Contents -- List of Abbreviations -- List of Tables -- List of Figures -- Part 1 - Framework -- 1.1 Introduction -- 1.2 Contribution to the current State of Research -- 1.3 Structure -- 1.4 Definition of Internet Search Queries -- 1.5 Literature Review -- 1.5.1 Stocks -- 1.5.2 Implied Volatility -- 1.5.3 Unemployment, Consumer Sentiment and Revenue -- 1.6 Data Scope of Analysis -- 1.6.1 Timeframe -- 1.6.2 Necessary Adjustments in Sample Selection -- 1.7 Search Engines - Gateways to Information -- 1.7.1 The Google Tool -- 1.7.2 Grouping -- 1.7.3 Multiple Counting is automatically avoided by Google -- 1.7.4 Synthetic Index rather than actual Numbers -- 1.7.5 Empty Values -- 1.7.6 Limited by German Language -- 1.7.7 Exact Wording of Search Terms and Search Term Combinations -- 1.8 Control Variables -- 1.8.1 Market Index -- 1.8.2 Turnover -- 1.8.3 Price-to-Book Ratio (PB) -- 1.8.4 Prior Price Changes -- 1.8.5 The 52 Week High or Low -- 1.8.6 Implied Volatility -- 1.8.7 3m implied Volatilities -- 1.8.8 Historical Volatility -- Part 2 - Regressions -- 2.1 Model Selection -- 2.1.1 Goodness of Fit -- 2.1.2 Level versus Changes -- 2.1.3 Seasonality -- 2.2 - Return Regressions -- 2.2.1 Standardization -- 2.2.2 Correlation Analysis -- 2.2.3 Pooled Regression -- 2.2.4 DAX, MDAX and SDAX Panel -- 2.2.5 Search Intensity -- 2.2.6 Price-to-Book and GSI -- 2.2.7 52 week High or Low -- 2.2.8 Interim Conclusion -- 2.3 - Implied Volatility Regressions -- 2.3.1 Groups of Search Intensity -- 2.3.2 Cross Check for historical Volatility -- 2.3.3 Single Stock Regressions on implied Volatility -- 2.3.4 Interim Conclusion -- Part 3 - Vector Autoregressive Model (VAR) -- 3.1 BMW VAR -- 3.2 General VAR -- Part 4 - Limitations of Research.. - 4.1 Initial Intention for Query -- 4.2 Discussion about Transparency versus Endogeneity -- 4.3 Language Barrier -- 4.4 Technical Limitations -- 4.5 Alternatives -- 4.6 Correction for Seasonality -- 4.7 Limitation of Trading Signal -- 4.8 Missing Interaction with other Controls -- 4.9 External Data Manipulation -- 4.9.1 Micro Impact Field Study -- 4.10 Access Chanel -- 4.11 Missing Controls -- Part 5 -- 5.1 Further Research -- 5.2 Conclusion -- Bibliography -- Appendix -- A.1 Frequency Distributions -- A.2 Q-Q-Plot -- A.3 Table of aggregate Inputs -- A.4 Alternative Model Specifications -- A.5 Seasonality of Returns -- A.6 Seasonality of Search Queries -- A.7 Trading Strategies.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9783959340977
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| ISBN(galt) |
