Filtering the Intensity of Public Concern from Social Media Count Data with Jumps

Matteo Iacopini () and Carlo Santagiustina
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Matteo Iacopini: QMUL - Queen Mary University of London, VU - Vrije Universiteit Amsterdam [Amsterdam]

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Abstract: Count time series obtained from online social media data, such as Twitter, have drawn increasing interest among academics and market analysts over the past decade. Transforming Web activity records into counts yields time series with peculiar features, including the coexistence of smooth paths and sudden jumps, as well as cross-sectional and temporal dependence. Using Twitter posts about country risks for the United Kingdom and the United States, this paper proposes an innovative state space model for multivariate count data with jumps. We use the proposed model to assess the impact of public concerns in these countries on market systems. To do so, public concerns inferred from Twitter data are unpacked into country-specific persistent terms, risk social amplification events and co-movements of the country series. The identified components are then used to investigate the existence and magnitude of country-risk spillovers and social amplification effects on the volatility of financial markets.

Keywords: Particle filtering; Risk perception; Bayesian inference; Count time series; Social media (search for similar items in EconPapers)
Date: 2021-08-03
Note: View the original document on HAL open archive server: https://hal.science/hal-04494229v1
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Published in Journal of the Royal Statistical Society: Series A Statistics in Society, 2021, 184 (4), pp.1283-1302. ⟨10.1111/rssa.12704⟩

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Related works:
Journal Article: Filtering the intensity of public concern from social media count data with jumps (2021)
Working Paper: Filtering the Intensity of Public Concern from Social Media Count Data with Jumps (2021)
Working Paper: Filtering the intensity of public concern from social media count data with jumps (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-04494229

DOI: 10.1111/rssa.12704

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