Advanced Search
MyIDEAS: Login to save this paper or follow this series

Can Google Trends search queries contribute to risk diversification?

Contents:

Author Info

  • Ladislav Kristoufek

Abstract

Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to portfolio diversification using the information of searched items on Google Trends. The diversification is based on an idea that popularity of a stock measured by search queries is correlated with the stock riskiness. We penalize the popular stocks by assigning them lower portfolio weights and we bring forward the less popular, or peripheral, stocks to decrease the total riskiness of the portfolio. Our results indicate that such strategy dominates both the benchmark index and the uniformly weighted portfolio both in-sample and out-of-sample.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://arxiv.org/pdf/1310.1444
File Function: Latest version
Download Restriction: no

Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 1310.1444.

as in new window
Length:
Date of creation: Oct 2013
Date of revision:
Publication status: Published in Scientific Reports 3:2713, 2013
Handle: RePEc:arx:papers:1310.1444

Contact details of provider:
Web page: http://arxiv.org/

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Yan Carrière-Swallow & Felipe Labbé, 2010. "Nowcasting With Google Trends in an Emerging Market," Working Papers Central Bank of Chile, Central Bank of Chile 588, Central Bank of Chile.
  2. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 19(3), pages 425-442, 09.
  3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, American Finance Association, vol. 7(1), pages 77-91, 03.
  4. Simeon Vosen & Torsten Schmidt, 2011. "Forecasting private consumption: survey‐based indicators vs. Google trends," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 30(6), pages 565-578, September.
  5. Jordi Mondria & Thomas Wu & Yi Zhang, 2008. "The Determinants of International Investment and Attention Allocation: Using Internet Search Query Data," Working Papers tecipa-326, University of Toronto, Department of Economics.
  6. Michael S. Drake & Darren T. Roulstone & Jacob R. Thornock, 2012. "Investor Information Demand: Evidence from Google Searches Around Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, Wiley Blackwell, vol. 50(4), pages 1001-1040, 09.
  7. Fondeur, Y. & Karamé, F., 2013. "Can Google data help predict French youth unemployment?," Economic Modelling, Elsevier, Elsevier, vol. 30(C), pages 117-125.
  8. Dror Y. Kenett & Matthias Raddant & Thomas Lux & Eshel Ben-Jacob, 2011. "Evolvement of uniformity and volatility in the stressed global financial village," Kiel Working Papers 1739, Kiel Institute for the World Economy.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Damien Challet & Ahmed Bel Hadj Ayed, 2014. "Do Google Trend data contain more predictability than price returns?," Papers 1403.1715, arXiv.org.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:arx:papers:1310.1444. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.