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A retail investor in a cobweb of social networks.

ABSTRACT: In this study, using AI, we empirically examine the irrational behaviour, specifically attention-driven trading and emotion-driven trading such as consensus trading, of retail investors in an emerging stock market. We used a neural network to assess the tone of messages on social media platforms and proposed a novel Hype indicator that integrates metrics of investor attention and sentiment. The sample of messages, which are written in Russian with slang expressions, was retrieved from a unique dataset of social network communication of investors in the Russian stock market. Applying different portfolio designs, we evaluated the effectiveness of the new Hype indicator against the factors of momentum, volatility, and trading volume. We found the possibility of building a profitable trading strategy based on the Hype indicator over a 6-month time horizon. Over short periods, the Hype indicator allows investors to earn more by buying stocks of large companies, and over «longer» periods, this indicator tends to perform better for illiquid stocks of small companies. As consensus trading tends to produce negative returns, the investment strategy of 'Go against the crowd' proves rewarding in the medium term of 3 months.

SUBMITTER: Teplova T

PROVIDER: S-EPMC9803199 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature

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A retail investor in a cobweb of social networks.

Teplova Tamara T Tomtosov Aleksandr A Sokolova Tatiana T

PloS one 20221230 12

In this study, using AI, we empirically examine the irrational behaviour, specifically attention-driven trading and emotion-driven trading such as consensus trading, of retail investors in an emerging stock market. We used a neural network to assess the tone of messages on social media platforms and proposed a novel Hype indicator that integrates metrics of investor attention and sentiment. The sample of messages, which are written in Russian with slang expressions, was retrieved from a unique d ...[more]

PMID: 36584054

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Project description:Note: Data Use Restrictions: <ul> <li>The data must only be used for genetic research projects solely in the area of health-related social-network research.</li> </ul> This study compiles detailed information on family and social ties linked to participants in the offspring cohort of the Framingham Heart Study. The investigators took computerized information from self-report data used by the FHS for over 30 years to facilitate health exam scheduling. These tracking sheets asked participants to identify people close to them, which were assumed by the investigators to indicate a social tie. Individuals are listed as "egos" (if the ties are from their perspective) and/or "alters" (if they are linked as a friend or family members to one of the other participants). All egos were FHS offspring participants while alters could be FHS participants in any cohort or non-participants. This information was combined with internal FHS pedigree data on family ties to list family member alters (as well as the nature of their relationship). The resultant dataset therefore includes each ego-alter tie, the nature of their relationship and the start and end dates for their ties for each of seven waves for the offspring study. Due to privacy concerns, all exam dates for individuals are listed relative to the initial FHS exam date. The study investigators chose a random, confidential date, to which all initial exam dates are linked (by number of months from random date to initial exam date). With this information, researchers can have access to the temporal relationships among participants' exam dates while remaining unaware of the actual exam dates for individual participants. During each clinic exam cycle, the participants undergo a detailed examination including physical examination, medical history, laboratory testing, and electrocardiogram. Over the years, other tests (that may not be performed at every exam cycle) have included pulmonary function, lifestyle, physical function, cognitive function questionnaires, and various noninvasive cardiovascular tests including echocardiograms. This study involves phenotypic data from these exams including (when available) basic body measurements (height, weight, blood pressure), laboratory values (blood sugar levels, LDL levels), information on smoking and alcohol use, and tests of depression and cognitive functioning. Important links to apply for individual-level data <ol> <li><a href="http://dbgap.ncbi.nlm.nih.gov/aa/wga.cgi?view_pdf&stacc=phs000153.v3.p3" target="_blank">Data Use Certification Requirements (DUC)</a></li> <li><a href="GetPdf.cgi?id=phd001183.1" target="_blank">Instructions to Request Authorized Access</a></li> <li><a href="http://view.ncbi.nlm.nih.gov/dbgap-controlled" target="_blank">Apply here for controlled access to individual level data</a></li> <li><a href="GetPdf.cgi?id=phd000317" target="_blank">Participant Protection Policy FAQ</a></li> </ol> In 1948, researchers recruited men and women from the town of Framingham, Massachusetts, beginning the first round of extensive physical examinations and lifestyle interviews that would later be analyzed for common patterns related to CVD development. Initially, the Framingham Heart Study enrolled 5,209 men and women from the Framingham area who were between the ages of 28 and 62 years. Beginning in 1971, the Framingham Heart Study enrolled 5,124 men and women, who were either offspring of the original cohort or spouses of those offspring. In 2002, 4,095 third generation participants (men and women) were enrolled.

Dataset Information

A retail investor in a cobweb of social networks.

Publications

A retail investor in a cobweb of social networks.

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