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http://dx.doi.org/10.7737/JKORMS.2013.38.4.053

A Study on Big Data Based Investment Strategy Using Internet Search Trends  

Kim, Minsoo (Department of Systems Management and Engineering, Pukyong National University)
Koo, Pyunghoi (Department of Systems Management and Engineering, Pukyong National University)
Publication Information
Journal of the Korean Operations Research and Management Science Society / v.38, no.4, 2013 , pp. 53-63 More about this Journal
Abstract
Together with soaring interest on Big Data, now there are vigorous reports that unearth various social values lying underneath those data from a number of application areas. Among those reports many are using such data as Internet search histories from Google site, social relationships from Facebook, and transactional or locational traces collected from various ubiquitous devices. Many of those researches, however, are conducted based on the data sets that are accumulated over the North American and European areas, which means that direct interpretation and application of social values exhibited by those researches to the other areas like Korea can be a disturbing task. This research has started from a validation study against Korean environment of the former paper which says an investment strategy that exploits up and down of Google search volume on a carefully selected set of terms shows high market performance. A huge difference between North American and Korean environment can be eye witnessed via the distinction in profit rates that are exhibited by the corresponding set of search terms. Two sets of search terms actually presented low correlation in their profit rates over two financial markets. Even in an experiment which compares the profit rates with two different investment periods with the same set of search terms showed no such meaningful result that outperforms the market average. With all these results, we cautiously conclude that establishing an investment strategy that exploits Internet search volume over a specified word set needs more conscious approach.
Keywords
Big Data; Stock Investment Strategy; Google Trends; Naver Trends; Search Terms; KOSPI;
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