英文标题：
《Power-law correlations in finance-related Google searches, and their
cross-correlations with volatility and traded volume: Evidence from the Dow
Jones Industrial components》
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作者：
Ladislav Kristoufek
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最新提交年份：
2015
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英文摘要：
We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms with a combination of the rescaled range and rescaled variance tests together with the detrended fluctuation analysis, we show that the searches are in fact power-law correlated with Hurst exponents between 0.8 and 1.1. The general interest in the DJIA stocks is thus strongly persistent. We further reinvestigate the cross-correlation structure between the searches, traded volume and volatility of the component stocks using the detrended cross-correlation and detrending moving-average cross-correlation coefficients. Contrary to the universal power-law correlations structure of the related Google searches, the results suggest that there is no universal relationship between the online search queries and the analyzed financial measures. Even though we confirm positive correlation for a majority of pairs, there are several pairs with insignificant or even negative correlations. In addition, the correlations vary quite strongly across scales.
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中文摘要：
我们研究了谷歌搜索道琼斯工业平均指数（DJIA）成份股的幂律相关性。通过结合重标度范围和重标度方差检验以及去趋势波动分析，我们检查了搜索项的每日数据，结果表明，搜索实际上与赫斯特指数在0.8和1.1之间呈幂律相关。因此，对道琼斯工业平均指数股票的普遍兴趣非常持久。我们进一步使用去趋势相关和去趋势移动平均互相关系数重新研究了组成股票的搜索、交易量和波动性之间的互相关结构。与相关谷歌搜索的普遍幂律相关结构相反，结果表明在线搜索查询与分析的财务指标之间不存在普遍关系。尽管我们确认了大多数配对的正相关，但也有一些配对的相关性不显著甚至为负。此外，各尺度之间的相关性差异很大。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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