Supplementary Information: Quantifying Trading Behavior in Financial Markets Using Google Trends

Transcription

1 TITLE Supplementary Information: Quantifying Trading Behavior in Financial Markets Using Google Trends AUTHORS AND AFFILIATIONS Tobias Preis 1#*, Helen Susannah Moat 2,3#, and H. Eugene Stanley 2# 1 Warwick Business School, University of Warwick, Scarman Road, Coventry, CV4 7AL, UK 2 Department of Physics, Boston University, 59 Commonwealth Avenue, Boston, Massachusetts 2215, USA 3 Department of Civil, Environmental and Geomatic Engineering, UCL, Gower Street, London, WC1E 6BT, UK # These authors contributed equally to this work. * To whom correspondence should be addressed; Tobias.Preis@wbs.ac.uk 1

2 Search Volume Data The service Google Trends analyses a portion of Google web searches to compute how many searches have been done for specific terms, relative to the total number of searches done on Google over time. This analysis indicates the likelihood of a random user to search for a particular search term from a certain location at a certain time. Note that Google Trends only provides data relating to search terms for which traffic exceeds a certain threshold, so that those with low search volume will not appear. The Google Trends system also eliminates repeated queries from a single user over a short period of time, so that the level of interest is not artificially impacted by such behavior 1. Google Trends does not provide search volume at a daily granularity, other than for extremely frequent search terms. We therefore conduct our analyses at a weekly granularity, for which data relating to a much larger set of search terms is available. REFERENCES 1. Google Trends [ Accessed in Mar

3 FIGURES Normalized Search Volume Data for FOMC Meetings of the Federal Open Market Committee Figure S1. Empirical evidence of data consistency, based on normalized search volume data for the search term FOMC, which is the commonly used term for the Federal Open Market Committee. The time series is normalized by its maximum. This committee is part of the U.S. Federal Reserve System and makes core decisions during its regular meetings about interest rates and the increase of money supply. The meeting dates, which we retrieved from on 15 May 211, are represented by vertical lines and coincide with an increase in the volume of the search term FOMC. We see no delay between sharp peaks in search volume data and the sequence of historical FOMC meeting dates. 3

4 Relative Keyword Occurence [1-4 ] Figure S2. How related are search terms to the hedge dividend earnings inflation markets bonds debt financial markets gains investment growth derivatives crisis unemployment banking dow jones economy stocks economics invest profit leverage risk revenue nasdaq metals politics consumption cash finance portfolio conflict oil fed gain short selling energy credit loss stock market transaction housing nyse success bubble trader environment greed opportunity money sell returns society chance present world rich war return crash freedom office headlines house culture arts buy ore food tourism holiday health train fine gold marriage water cancer car travel happy forex restaurant default ring lifestyle labor fond religion rare earths home kitchen garden fun movie consume short sell color topic of finance? We quantify financial relevance by calculating the frequency of each search term in the online edition of the Financial Times ( from August 24 to June 211, normalized by the number of Google hits ( for each search term. 4

5 arts Figure S3. Profit and loss for an investment strategy based on the volume of the search term arts with Δt = 3 weeks Figure S4. Profit and loss for an investment strategy based on the volume of the search term banking with Δt = 3 weeks. banking 56 5

6 1 5 Figure S5. Profit and loss for an investment strategy based on the volume of the search term bonds with Δt = 3 weeks. bonds bubble Figure S6. Profit and loss for an investment strategy based on the volume of the search term bubble with Δt = 3 weeks. 13 6

7 buy Figure S7. Profit and loss for an investment strategy based on the volume of the search term buy with Δt = 3 weeks Figure S8. Profit and loss for an investment strategy based on the volume of the search term cancer with Δt = 3 weeks. cancer 99 7

8 car Figure S9. Profit and loss for an investment strategy based on the volume of the search term car with Δt = 3 weeks Figure S1. Profit and loss for an investment strategy based on the volume of the search term cash with Δt = 3 weeks. cash 113 8

9 chance Figure S11. Profit and loss for an investment strategy based on the volume of the search term chance with Δt = 3 weeks color Figure S12. Profit and loss for an investment strategy based on the volume of the search term color with Δt = 3 weeks

10 conflict Figure S13. Profit and loss for an investment strategy based on the volume of the search term conflict with Δt = 3 weeks consume Figure S14. Profit and loss for an investment strategy based on the volume of the search term consume with Δt = 3 weeks. 1

11 consumption Figure S15. Profit and loss for an investment strategy based on the volume of the search term consumption with Δt = 3 weeks crash Figure S. Profit and loss for an investment strategy based on the volume of the search term crash with Δt = 3 weeks

12 2 1 Figure S17. Profit and loss for an investment strategy based on the volume of the search term credit with Δt = 3 weeks. credit Figure S18. Profit and loss for an investment strategy based on the volume of the search term crisis with Δt = 3 weeks. crisis 9 12

13 culture Figure S19. Profit and loss for an investment strategy based on the volume of the search term culture with Δt = 3 weeks debt Figure S2. Profit and loss for an investment strategy based on the volume of the search term debt with Δt = 3 weeks

14 1 5 Figure S21. Profit and loss for an investment strategy based on the volume of the search term default with Δt = 3 weeks. default Figure S22. Profit and loss for an investment strategy based on the volume of the search term derivatives with Δt = 3 weeks. derivatives 78 14

15 dividend Figure S23. Profit and loss for an investment strategy based on the volume of the search term dividend with Δt = 3 weeks dow jones Figure S24. Profit and loss for an investment strategy based on the volume of the search term dow jones with Δt = 3 weeks

16 earnings Figure S25. Profit and loss for an investment strategy based on the volume of the search term earnings with Δt = 3 weeks Figure S26. Profit and loss for an investment strategy based on the volume of the search term economics with Δt = 3 weeks. economics 74

17 economy Figure S27. Profit and loss for an investment strategy based on the volume of the search term economy with Δt = 3 weeks energy Figure S28. Profit and loss for an investment strategy based on the volume of the search term energy with Δt = 3 weeks

18 environment Figure S29. Profit and loss for an investment strategy based on the volume of the search term environment with Δt = 3 weeks Figure S3. Profit and loss for an investment strategy based on the volume of the search term fed with Δt = 3 weeks. fed 8 18

19 1 5 Figure S31. Profit and loss for an investment strategy based on the volume of the search term finance with Δt = 3 weeks. finance financial markets Figure S32. Profit and loss for an investment strategy based on the volume of the search term financial markets with Δt = 3 weeks

20 fine Figure S33. Profit and loss for an investment strategy based on the volume of the search term fine with Δt = 3 weeks fond Figure S34. Profit and loss for an investment strategy based on the volume of the search term fond with Δt = 3 weeks. 24 2

21 food Figure S35. Profit and loss for an investment strategy based on the volume of the search term food with Δt = 3 weeks forex Figure S36. Profit and loss for an investment strategy based on the volume of the search term forex with Δt = 3 weeks. 2 21

22 freedom Figure S37. Profit and loss for an investment strategy based on the volume of the search term freedom with Δt = 3 weeks fun Figure S38. Profit and loss for an investment strategy based on the volume of the search term fun with Δt = 3 weeks

23 gain Figure S39. Profit and loss for an investment strategy based on the volume of the search term gain with Δt = 3 weeks gains Figure S4. Profit and loss for an investment strategy based on the volume of the search term gains with Δt = 3 weeks

24 garden Figure S41. Profit and loss for an investment strategy based on the volume of the search term garden with Δt = 3 weeks gold Figure S42. Profit and loss for an investment strategy based on the volume of the search term gold with Δt = 3 weeks. 6 24

25 greed Figure S43. Profit and loss for an investment strategy based on the volume of the search term greed with Δt = 3 weeks. 2 5 Figure S44. Profit and loss for an investment strategy based on the volume of the search term growth with Δt = 3 weeks. growth 46 25

26 5 Figure S45. Profit and loss for an investment strategy based on the volume of the search term happy with Δt = 3 weeks. happy 7 5 Figure S46. Profit and loss for an investment strategy based on the volume of the search term headlines with Δt = 3 weeks. headlines 83 26

27 health Figure S47. Profit and loss for an investment strategy based on the volume of the search term health with Δt = 3 weeks Figure S48. Profit and loss for an investment strategy based on the volume of the search term hedge with Δt = 3 weeks. hedge 12 27

28 hedging Figure S49. Profit and loss for an investment strategy based on the volume of the search term hedging with Δt = 3 weeks holiday Figure S5. Profit and loss for an investment strategy based on the volume of the search term holiday with Δt = 3 weeks

29 home Figure S51. Profit and loss for an investment strategy based on the volume of the search term home with Δt = 3 weeks house Figure S52. Profit and loss for an investment strategy based on the volume of the search term house with Δt = 3 weeks

30 housing Figure S53. Profit and loss for an investment strategy based on the volume of the search term housing with Δt = 3 weeks inflation Figure S54. Profit and loss for an investment strategy based on the volume of the search term inflation with Δt = 3 weeks

31 invest Figure S55. Profit and loss for an investment strategy based on the volume of the search term invest with Δt = 3 weeks investment Figure S56. Profit and loss for an investment strategy based on the volume of the search term investment with Δt = 3 weeks

32 kitchen Figure S57. Profit and loss for an investment strategy based on the volume of the search term kitchen with Δt = 3 weeks labor Figure S58. Profit and loss for an investment strategy based on the volume of the search term labor with Δt = 3 weeks

33 leverage Figure S59. Profit and loss for an investment strategy based on the volume of the search term leverage with Δt = 3 weeks lifestyle Figure S6. Profit and loss for an investment strategy based on the volume of the search term lifestyle with Δt = 3 weeks. 3 33

34 loss Figure S61. Profit and loss for an investment strategy based on the volume of the search term loss with Δt = 3 weeks markets Figure S62. Profit and loss for an investment strategy based on the volume of the search term markets with Δt = 3 weeks

35 1 5 Figure S63. Profit and loss for an investment strategy based on the volume of the search term marriage with Δt = 3 weeks. marriage metals Figure S64. Profit and loss for an investment strategy based on the volume of the search term metals with Δt = 3 weeks

36 money Figure S65. Profit and loss for an investment strategy based on the volume of the search term money with Δt = 3 weeks movie Figure S66. Profit and loss for an investment strategy based on the volume of the search term movie with Δt = 3 weeks. 3 36

37 nasdaq Figure S67. Profit and loss for an investment strategy based on the volume of the search term nasdaq with Δt = 3 weeks nyse Figure S68. Profit and loss for an investment strategy based on the volume of the search term nyse with Δt = 3 weeks

38 office Figure S69. Profit and loss for an investment strategy based on the volume of the search term office with Δt = 3 weeks oil Figure S7. Profit and loss for an investment strategy based on the volume of the search term oil with Δt = 3 weeks

39 opportunity Figure S71. Profit and loss for an investment strategy based on the volume of the search term opportunity with Δt = 3 weeks ore Figure S72. Profit and loss for an investment strategy based on the volume of the search term ore with Δt = 3 weeks. 2 39

40 politics Figure S73. Profit and loss for an investment strategy based on the volume of the search term politics with Δt = 3 weeks Figure S74. Profit and loss for an investment strategy based on the volume of the search term portfolio with Δt = 3 weeks. portfolio 215 4

41 present Figure S75. Profit and loss for an investment strategy based on the volume of the search term present with Δt = 3 weeks profit Figure S76. Profit and loss for an investment strategy based on the volume of the search term profit with Δt = 3 weeks

42 rare earths Figure S77. Profit and loss for an investment strategy based on the volume of the search term rare earths with Δt = 3 weeks religion Figure S78. Profit and loss for an investment strategy based on the volume of the search term religion with Δt = 3 weeks

43 Figure S79. Profit and loss for an investment strategy based on the volume of the search term restaurant with Δt = 3 weeks. restaurant return Figure S8. Profit and loss for an investment strategy based on the volume of the search term return with Δt = 3 weeks

44 1 5 Figure S81. Profit and loss for an investment strategy based on the volume of the search term returns with Δt = 3 weeks. returns Figure S82. Profit and loss for an investment strategy based on the volume of the search term revenue with Δt = 3 weeks. revenue 8 44

45 rich Figure S83. Profit and loss for an investment strategy based on the volume of the search term rich with Δt = 3 weeks Figure S84. Profit and loss for an investment strategy based on the volume of the search term ring with Δt = 3 weeks. ring 52 45

46 risk Figure S85. Profit and loss for an investment strategy based on the volume of the search term risk with Δt = 3 weeks Figure S86. Profit and loss for an investment strategy based on the volume of the search term sell with Δt = 3 weeks. sell

47 short selling Figure S87. Profit and loss for an investment strategy based on the volume of the search term short selling with Δt = 3 weeks Figure S88. Profit and loss for an investment strategy based on the volume of the search term society with Δt = 3 weeks. society 62 47

48 1 5 stock market 11 Figure S89. Profit and loss for an investment strategy based on the volume of the search term stock market with Δt = 3 weeks stocks Figure S9. Profit and loss for an investment strategy based on the volume of the search term stocks with Δt = 3 weeks

49 1 5 Figure S91. Profit and loss for an investment strategy based on the volume of the search term success with Δt = 3 weeks. success tourism Figure S92. Profit and loss for an investment strategy based on the volume of the search term tourism with Δt = 3 weeks

50 trader Figure S93. Profit and loss for an investment strategy based on the volume of the search term trader with Δt = 3 weeks train Figure S94. Profit and loss for an investment strategy based on the volume of the search term train with Δt = 3 weeks. 6 5

51 transaction Figure S95. Profit and loss for an investment strategy based on the volume of the search term transaction with Δt = 3 weeks Figure S96. Profit and loss for an investment strategy based on the volume of the search term travel with Δt = 3 weeks. travel 84 51

52 1 5 unemployment 71 Figure S97. Profit and loss for an investment strategy based on the volume of the search term unemployment with Δt = 3 weeks war Figure S98. Profit and loss for an investment strategy based on the volume of the search term war with Δt = 3 weeks. 8 52

53 water Figure S99. Profit and loss for an investment strategy based on the volume of the search term water with Δt = 3 weeks world Figure S1. Profit and loss for an investment strategy based on the volume of the search term world with Δt = 3 weeks

54 Dow Jones strategy Figure S11. Profit and loss for the Dow Jones strategy, using changes in p(t) in place of changes in search volume data as the basis of buy and sell decisions, with Δt = 3 weeks