SONIC: SOcial Network with Influencers and Communities

Cathy Yi-Hsuan Chen, Wolfgang Härdle and Yegor Klochkov

No 2019-025, IRTG 1792 Discussion Papers from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"

Abstract: The integration of social media characteristics into an econometric framework requires modeling a high dimensional dynamic network with dimensions of parameter Θ typically much larger than the number of observations. To cope with this problem, we introduce a new structural model — SONIC which assumes that (1) a few influencers drive the network dynamics; (2) the community structure of the network is characterized as the homogeneity of response to the specific influencer, implying their underlying similarity. An estimation procedure is proposed based on a greedy algorithm and LASSO regularization. Through theoretical study and simulations, we show that the matrix parameter can be estimated even when the observed time interval is smaller than the size of the network. Using a novel dataset retrieved from a leading social media platform– StockTwits and quantifying their opinions via natural language processing, we model the opinions network dynamics among a select group of users and further detect the latent communities. With a sparsity regularization, we can identify important nodes in the network.

Keywords: social media; network; community; opinion mining; natural language processing (search for similar items in EconPapers)
JEL-codes: C1 C22 C51 G41 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:irtgdp:2019025

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