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Tracking traders' understanding of the market using e-communication data

  • Datos identificativos

    Identificador: imarina:9370457
    Autores:
    Saavedra SDuch JUzzi B
    Resumen:
    Tracking the volume of keywords in Internet searches, message boards, or Tweets has provided an alternative for following or predicting associations between popular interest or disease incidences. Here, we extend that research by examining the role of e-communications among day traders and their collective understanding of the market. Our study introduces a general method that focuses on bundles of words that behave differently from daily communication routines, and uses original data covering the content of instant messages among all day traders at a trading firm over a 40-month period. Analyses show that two word bundles convey traders' understanding of same day market events and potential next day market events. We find that when market volatility is high, traders' communications are dominated by same day events, and when volatility is low, communications are dominated by next day events. We show that the stronger the traders' attention to either same day or next day events, the higher their collective trading performance. We conclude that e-communication among traders is a product of mass collaboration over diverse viewpoints that embodies unique information about their weak or strong understanding of the market. © 2011 Saavedra et al.
  • Otros:

    Autor según el artículo: Saavedra S; Duch J; Uzzi B
    Departamento: Enginyeria Informàtica i Matemàtiques
    Autor/es de la URV: Duch Gavaldà, Jordi
    Palabras clave: Strengthen the means of implementation and revitalize the global partnership for sustainable development goals
    Resumen: Tracking the volume of keywords in Internet searches, message boards, or Tweets has provided an alternative for following or predicting associations between popular interest or disease incidences. Here, we extend that research by examining the role of e-communications among day traders and their collective understanding of the market. Our study introduces a general method that focuses on bundles of words that behave differently from daily communication routines, and uses original data covering the content of instant messages among all day traders at a trading firm over a 40-month period. Analyses show that two word bundles convey traders' understanding of same day market events and potential next day market events. We find that when market volatility is high, traders' communications are dominated by same day events, and when volatility is low, communications are dominated by next day events. We show that the stronger the traders' attention to either same day or next day events, the higher their collective trading performance. We conclude that e-communication among traders is a product of mass collaboration over diverse viewpoints that embodies unique information about their weak or strong understanding of the market. © 2011 Saavedra et al.
    Áreas temáticas: Zootecnia / recursos pesqueiros Sociology Sociología Serviço social Saúde coletiva Química Psychology Psicología Planejamento urbano e regional / demografia Odontología Nutrição Multidisciplinary sciences Multidisciplinary Medicine (miscellaneous) Medicina veterinaria Medicina iii Medicina ii Medicina i Materiais Matemática / probabilidade e estatística Linguística e literatura Letras / linguística Interdisciplinary research in the social sciences Interdisciplinar Human geography and urban studies History & philosophy of science Historia Geografía Geociências General medicine General biochemistry,genetics and molecular biology General agricultural and biological sciences Farmacia Environmental studies Ensino Engenharias iv Engenharias iii Engenharias ii Engenharias i Enfermagem Educação física Educação Economia Direito Demography Comunicação e informação Ciências sociais aplicadas i Ciências biológicas iii Ciências biológicas ii Ciências biológicas i Ciências ambientais Ciências agrárias i Ciência política e relações internacionais Ciência de alimentos Ciência da computação Biotecnología Biology Biodiversidade Biochemistry, genetics and molecular biology (miscellaneous) Astronomia / física Arquitetura, urbanismo e design Archaeology Antropologia / arqueologia Anthropology Agricultural and biological sciences (miscellaneous) Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    Direcció de correo del autor: jordi.duch@urv.cat
    Identificador del autor: 0000-0003-2639-6333
    Fecha de alta del registro: 2024-11-16
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    Enlace a la fuente original: https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0026705
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: Plos One. 6 (10): e26705-e26705
    Referencia de l'ítem segons les normes APA: Saavedra S; Duch J; Uzzi B (2011). Tracking traders' understanding of the market using e-communication data. Plos One, 6(10), e26705-e26705. DOI: 10.1371/journal.pone.0026705
    DOI del artículo: 10.1371/journal.pone.0026705
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2011
    Tipo de publicación: Journal Publications
  • Palabras clave:

    Agricultural and Biological Sciences (Miscellaneous),Biochemistry, Genetics and Molecular Biology (Miscellaneous),Biology,Medicine (Miscellaneous),Multidisciplinary,Multidisciplinary Sciences
    Strengthen the means of implementation and revitalize the global partnership for sustainable development goals
    Zootecnia / recursos pesqueiros
    Sociology
    Sociología
    Serviço social
    Saúde coletiva
    Química
    Psychology
    Psicología
    Planejamento urbano e regional / demografia
    Odontología
    Nutrição
    Multidisciplinary sciences
    Multidisciplinary
    Medicine (miscellaneous)
    Medicina veterinaria
    Medicina iii
    Medicina ii
    Medicina i
    Materiais
    Matemática / probabilidade e estatística
    Linguística e literatura
    Letras / linguística
    Interdisciplinary research in the social sciences
    Interdisciplinar
    Human geography and urban studies
    History & philosophy of science
    Historia
    Geografía
    Geociências
    General medicine
    General biochemistry,genetics and molecular biology
    General agricultural and biological sciences
    Farmacia
    Environmental studies
    Ensino
    Engenharias iv
    Engenharias iii
    Engenharias ii
    Engenharias i
    Enfermagem
    Educação física
    Educação
    Economia
    Direito
    Demography
    Comunicação e informação
    Ciências sociais aplicadas i
    Ciências biológicas iii
    Ciências biológicas ii
    Ciências biológicas i
    Ciências ambientais
    Ciências agrárias i
    Ciência política e relações internacionais
    Ciência de alimentos
    Ciência da computação
    Biotecnología
    Biology
    Biodiversidade
    Biochemistry, genetics and molecular biology (miscellaneous)
    Astronomia / física
    Arquitetura, urbanismo e design
    Archaeology
    Antropologia / arqueologia
    Anthropology
    Agricultural and biological sciences (miscellaneous)
    Administração, ciências contábeis e turismo
    Administração pública e de empresas, ciências contábeis e turismo
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