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Tobias Preis
Warwick Business School Tobias.Preis@wbs.ac.uk www.tobiaspreis.de
The big data explosion
A map of the world built only from GPS locations of Flickr photos ¡
Quantifying Economic Behaviour Using Big Data Tobias Preis Warwick - - PowerPoint PPT Presentation
Quantifying Economic Behaviour Using Big Data Tobias Preis Warwick - - PowerPoint PPT Presentation
Quantifying Economic Behaviour Using Big Data Tobias Preis Warwick Business School Tobias.Preis@wbs.ac.uk www.tobiaspreis.de A map of the world built only from GPS locations of Flickr photos The big data explosion 1 The advantage of
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The advantage of looking forward
1
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Future Orientation Index 2010
0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8
more Google searches for “2009” more Google searches for “2011”
Based on Preis, Moat, Stanley and Bishop (2012)
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Richer countries look forward
B
Future-Orientation Index GDP / Capita [10 4 USD]
1 2 3 4 0.0 0.5 1.0 1.5 2.0
Preis, Moat, Stanley & Bishop (2012) Featured by:
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Photo: Perpetual Tourist
Predicting stock markets
2
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Financial markets: big data
Photo: Perpetual Tourist
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The Internet: big data
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Hypothetical strategy
week t
Moat et al. (2013); Preis et al. (2013)
number of Google searches for keyword
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number of Google searches for keyword week t t-1 t-2 t-3
Moat et al. (2013); Preis et al. (2013)
Hypothetical strategy
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Search volume decreased: BUY stock in week t+1 week t t-1 t-2 t-3
Moat et al. (2013); Preis et al. (2013)
Hypothetical strategy
number of Google searches for keyword
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Search volume decreased: BUY stock in week t+1 Search volume increased: SELL stock in week t+1 week t t-1 t-2 t-3
Moat et al. (2013); Preis et al. (2013)
Hypothetical strategy
number of Google searches for keyword
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−40 40 2005 2007 2009 2011 5 16 % proft
“culture” trading strategy buy and hold strategy mean ± 1 sd of random strategies
Preis, Moat & Stanley (2013) Featured by:
Example: “culture”
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100 200 300 2005 2007 2009 2011 326 16 % proft
“debt” trading strategy buy and hold strategy mean ± 1 sd of random strategies
Preis, Moat & Stanley (2013)
Example: “debt”
Featured by:
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Random strategy mean + 2 sds Random strategy mean + 1 sd
return (random strategy sds) 1 2
- 1
“debt” “culture”
How different keywords perform
Preis, Moat & Stanley (2013)
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Random strategy mean + 2 sds Random strategy mean + 1 sd
return (random strategy sds) 1 2
- 1
“debt” “culture” “stocks” “credit” “garden” “train”
Preis, Moat & Stanley (2013)
How different keywords perform
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# occurrences in FT # hits on Google
Returns signifjcantly correlated with indicator
- f fjnancial relevance
Financial relevance
Random strategy mean + 2 sds Random strategy mean + 1 sd
return (random strategy sds) 1 2
- 1
Preis, Moat & Stanley (2013)
How different keywords perform
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Wikipedia: Dow Jones companies
Return [Std. Dev. of Random Strategies] Density
0.0 0.2 0.4 0.6 −2 2 Wikipedia Views DJIA Companies Wikipedia Edits DJIA Companies Random Strategy
Views strategies profjtable
Moat, Curme, Avakian, Kenett, Stanley & Preis (2013) Featured by:
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Wikipedia: Financial topics
Moat, Curme, Avakian, Kenett, Stanley & Preis (2013) Featured by:
0.00 0.25 0.50 0.75 1.00 −2 2
Return [Std. Dev. of Random Strategies] Density
Wikipedia Views Financial Topics Wikipedia Edits Financial Topics Random Strategy
Views strategies profjtable
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Wikipedia: Actors and fjlmmakers?
0.0 0.1 0.2 0.3 0.4 −2 2
Return [Std. Dev. of Random Strategies] Density
Wikipedia Views Actors & Filmmakers Random Strategy
Strategies NOT profjtable
Moat, Curme, Avakian, Kenett, Stanley & Preis (2013) Featured by:
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debt housing crisis apple
- range
tree housing debt Curme, Preis, Stanley & Moat (2014)
What is searched for before falls?
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55 groups of search terms Business and politics most related
Curme, Preis, Stanley & Moat (2014)
What is searched for before falls?
Cumulative Returns (%)
- 100
100 200
Random Strategy Politics I Business
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Sensing disasters
3
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Preis and Moat (under review); ¡
Time 0.00 0.02 0.04 0.06 0.08 0.10 20 Oct 25 Oct 30 Oct 05 Nov 10 Nov 15 Nov 20 Nov
Flickr Photos with Hurricane Related Tags Landfall of Hurricane Sandy
960 980 1000 1020 20 Oct 25 Oct 30 Oct 05 Nov 10 Nov 15 Nov 20 Nov
Landfall of Hurricane Sandy Averaged Pressure in US State New Jersey
A B
Preis, Moat, Bishop, Treleaven and Stanley (2013)
Flickr and Hurricane Sandy
Flickr: photos taken Air pressure
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