英文标题：
《A nonlinear impact: evidences of causal effects of social media on
  market prices》
---
作者：
Th\\\'arsis T. P. Souza and Tomaso Aste
---
最新提交年份：
2016
---
英文摘要：
  Online social networks offer a new way to investigate financial markets\' dynamics by enabling the large-scale analysis of investors\' collective behavior. We provide empirical evidence that suggests social media and stock markets have a nonlinear causal relationship. We take advantage of an extensive data set composed of social media messages related to DJIA index components. By using information-theoretic measures to cope for possible nonlinear causal coupling between social media and stock markets systems, we point out stunning differences in the results with respect to linear coupling. Two main conclusions are drawn: First, social media significant causality on stocks\' returns are purely nonlinear in most cases; Second, social media dominates the directional coupling with stock market, an effect not observable within linear modeling. Results also serve as empirical guidance on model adequacy in the investigation of sociotechnical and financial systems.
---
中文摘要：
在线社交网络通过对投资者集体行为的大规模分析，提供了一种研究金融市场动态的新方法。我们提供的经验证据表明，社交媒体和股市之间存在非线性因果关系。我们利用了由与DJIA索引组件相关的社交媒体消息组成的广泛数据集。通过使用信息论的方法来应对社交媒体和股票市场系统之间可能存在的非线性因果耦合，我们指出了线性耦合结果的惊人差异。得出了两个主要结论：第一，社交媒体对股票收益率的显著因果关系在大多数情况下是纯非线性的；其次，社交媒体主导着与股市的定向耦合，这是线性建模中无法观察到的效果。研究结果还可以作为社会技术和金融系统调查中模型充分性的经验指导。
---
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
--
一级分类：Computer Science        计算机科学
二级分类：Computers and Society        计算机与社会
分类描述：Covers impact of computers on society, computer ethics, information technology and public policy, legal aspects of computing, computers and education. Roughly includes material in ACM Subject Classes K.0, K.2, K.3, K.4, K.5, and K.7.
涵盖计算机对社会的影响、计算机伦理、信息技术和公共政策、计算机的法律方面、计算机和教育。大致包括ACM学科类K.0、K.2、K.3、K.4、K.5和K.7中的材料。
--
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。
--
一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--

---
PDF下载：
-->