Analysis on Stock Market Volatility with Collective Human Behaviors in Online Message Board

摘要

The stock market is constantly changing and sometimes the stock prices unaccountably plummet and surge. So, the stock market is recognized as a complex system and the change on the stock prices is unpredictable. Recently, many researchers try to understand the stock market as the network between individual stocks and to discover a hint about the change of the stock prices from big data being created in real time from Internet. We focus on the correlation among the stock market and human interaction with the Internet especially stock message board. By analyzing changes in the article volumes for stocks, we find that the correlation strength of between the article volume and the stock price has relevance to the stock return. We propose a new method for recommending stock portfolio base on the result of our analysis. According to the simulated investment test, the returns of our portfolio is about 1.82% per month which is about 0.85% and 1.48% higher than that of the Markowitz's efficient portfolio and that of the KOSPI average respectively. This study presents that collective human behavior on Internet stock message board helps to better understand the stock market.