Quantifying Economic
Behaviour Using Big Data
Tobias Preis
Warwick Business School
[email protected]
www.tobiaspreis.de
A map of the world built only from
GPS locations of Flickr photos The big data explosion
1
The advantage of looking forward
more Google searches for “2009”
more Google searches for “2011”
Future Orientation Index 2012
0.2
0.4
0.6
0.8
1.0
Suzy Moat & Tobias Preis
Based on Preis, Moat, Stanley and Bishop (2012)
1.2
1.4
1.6
1.8
1.6
1.8
Ratio of Google searches for “2011” to searches for “2009” during 2010 for 45 countries
0.2
0.4
0.6
0.8
1.0
1.2
1.4
Future Orientation Index 2010
Ratio of Google searches for “2013” to searches for “2011” during 2012 for 45 countries
Richer countries look forward
4
GDP / Capita [10 USD]
B
Preis, Moat,
Stanley &
Bishop (2012)
4
3
2
Featured by:
1
0.0
0.5
1.0
1.5
2.0
Future-Orientation Index
Photo: Perpetual Tourist
2
Predicting stock markets
Financial markets: big data
Photo: Perpetual Tourist
The Internet: big data
Hypothetical strategy
number of Google searches
for keyword
week
t
Moat et al. (2013);
Preis et al. (2013)
Hypothetical strategy
number of Google searches
for keyword
week
t-3 t-2 t-1
t
Moat et al. (2013);
Preis et al. (2013)
Hypothetical strategy
number of Google searches
for keyword
week
t-3 t-2 t-1
t
Moat et al. (2013);
Preis et al. (2013)
Search volume
decreased:
BUY stock
in week t+1
Hypothetical strategy
number of Google searches
for keyword
week
t-3 t-2 t-1
t
Moat et al. (2013);
Preis et al. (2013)
Search volume
decreased:
BUY stock
in week t+1
Search volume
increased:
SELL stock
in week t+1
Example: “culture”
Featured by:
% profit
40
16
5
0
−40
2005
Preis, Moat
& Stanley
(2013)
2007
2009
2011
“culture” trading strategy
buy and hold strategy
mean ± 1 sd of random strategies
Example: “debt”
Featured by:
% profit
326
300
200
100
0
16
2005
Preis, Moat
& Stanley
(2013)
2007
2009
2011
“debt” trading strategy
buy and hold strategy
mean ± 1 sd of random strategies
How different keywords perform
return (random strategy sds)
2
Random strategy mean + 2 sds
1
Random strategy mean + 1 sd
0
-1
“debt”
Preis, Moat & Stanley (2013)
“culture”
How different keywords perform
return (random strategy sds)
2
Random strategy mean + 2 sds
1
Random strategy mean + 1 sd
0
-1
“debt”
“credit”
“stocks”
Preis, Moat & Stanley (2013)
“culture”
“train”
“garden”
How different keywords perform
return (random strategy sds)
2
Random strategy mean + 2 sds
1
Random strategy mean + 1 sd
0
-1
Financial relevance
# occurrences in FT
# hits on Google
Returns significantly
correlated with indicator
of financial relevance
Preis, Moat & Stanley (2013)
Wikipedia: Dow Jones companies
Wikipedia Views
DJIA Companies
0.6
Density
Wikipedia Edits
DJIA Companies
0.4
Moat, Curme,
Avakian, Kenett,
Stanley & Preis
(2013)
Featured by:
0.2
Random
Strategy
0.0
−2
0
2
Return [Std. Dev. of Random Strategies]
Views strategies profitable
Wikipedia: Financial topics
1.00
Density
0.75
Wikipedia Edits
Financial Topics
Wikipedia Views
Financial Topics
Featured by:
0.50
0.25
Moat, Curme,
Avakian, Kenett,
Stanley & Preis
(2013)
Random
Strategy
0.00
−2
0
2
Return [Std. Dev. of Random Strategies]
Views strategies profitable
Wikipedia: Actors and filmmakers?
0.4
Density
0.3
Wikipedia Views
Actors & Filmmakers
Random
Strategy
Moat, Curme,
Avakian, Kenett,
Stanley & Preis
(2013)
Featured by:
0.2
0.1
0.0
−2
0
2
Return [Std. Dev. of Random Strategies]
Strategies NOT profitable
What is searched for before falls?
debt
housing
apple
crisis
orange
housing
tree
Curme, Preis, Stanley & Moat (2014)
debt
What is searched for before falls?
Cumulative Returns (%)
Random Strategy
Politics I
Business
55 groups of search
terms
Business and politics
most related
Curme, Preis,
Stanley & Moat (2014)
-100
0
100
200
3
Sensing disasters
Atmospheric Pressure [mbar]
Normalised Number of Photos
Flickr and Hurricane Sandy
0.10
0.08
0.06
0.04
0.02
0.00
A
Flickr Photos with
Hurricane Related Tags
20 Oct
1020
25 Oct
B
1000
Landfall of Hurricane Sandy
30 Oct
05 Nov
Preis
and
Time
10 Nov
Moat!
(under review); 15 Nov
20 Nov
Landfall of Hurricane Sandy
Averaged Pressure in
US State New Jersey
980
Flickr: photos taken
Air pressure
960
20 Oct
25 Oct
30 Oct
05 Nov
Time
10 Nov
15 Nov
20 Nov
Preis, Moat, Bishop, Treleaven and Stanley (2013)
How can open data help you?
[email protected]
Data from the Internet may help us
measure and even predict
human behaviour