Mining the Web for the "Voice of the Herd" to Track Stock Market Bubbles

Gerow, Aaron; Keane, Mark T.

doi:10.5591/978-1-57735-516-8/IJCAI11-374

Mining the Web for the "Voice of the Herd" to Track Stock Market Bubbles

Aaron Gerow, Mark T. Keane

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Proceedings of the Twenty-Second International Joint Conference on Artificial Intelligence. Pages 2244-2248.

https://doi.org/10.5591/978-1-57735-516-8/IJCAI11-374

Abstract

We show that power-law analyses of financial commentaries from newspaper web-sites can be used to identify stock market bubbles, supplementing traditional volatility analyses. Using a four-year corpus of 17,713 online, finance-related articles (10M+ words) from the Financial Times, the New York Times, and the BBC, we show that week-to-week changes in power-law distributions reflect market movements of the Dow Jones Industrial Average (DJI), the FTSE-100, and the NIKKEI-225. Notably, the statistical regularities in language track the 2007 stock market bubble, showing emerging structure in the language of commentators, as progressively greater agreement arose in their positive perceptions of the market. Furthermore, during the bubble period, a marked divergence in positive language occurs as revealed by a Kullback-Leibler analysis.

Aaron Gerow, and Mark T. Keane. 2011. Mining the Web for the "Voice of the Herd" to Track Stock Market Bubbles. In Proceedings of the Twenty-Second International Joint Conference on Artificial Intelligence, IJCAI-11. IJCAI, 2244–2248. https://doi.org/10.5591/978-1-57735-516-8/IJCAI11-374

@inproceedings{ijcai2011p374,
  title     = {Mining the Web for the "Voice of the Herd" to Track Stock Market Bubbles},
  author    = {Gerow, Aaron and Keane, Mark T.},
  booktitle = {Proceedings of the Twenty-Second International Joint Conference on
               Artificial Intelligence, {IJCAI-11}},
  publisher = {AAAI Press/International Joint Conferences on Artificial Intelligence},
  editor    = {Toby Walsh},
  pages     = {2244--2248},
  year      = {2011},
  month     = {7},
  doi       = {10.5591/978-1-57735-516-8/IJCAI11-374},
  url       = {https://doi.org/10.5591/978-1-57735-516-8/IJCAI11-374},
}

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TI  - Mining the Web for the "Voice of the Herd" to Track Stock Market Bubbles
AU  - Gerow, Aaron
AU  - Keane, Mark T.
T2  - Proceedings of the Twenty-Second International Joint Conference on Artificial Intelligence, IJCAI-11
PB  - AAAI Press/International Joint Conferences on Artificial Intelligence
PY  - 2011
SP  - 2244
EP  - 2248
DO  - 10.5591/978-1-57735-516-8/IJCAI11-374
UR  - https://doi.org/10.5591/978-1-57735-516-8/IJCAI11-374
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