| bibtype |
J -
Journal Article
|
| ARLID |
0395341 |
| utime |
20240103202847.2 |
| mtime |
20130919235959.9 |
| WOS |
000324583200003 |
| DOI |
10.1038/srep02713 |
| title
(primary) (eng) |
Can Google Trends search queries contribute to risk diversification? |
| specification |
| page_count |
5 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0386594 |
| ISSN |
2045-2322 |
| title
|
Scientific Reports |
| volume_id |
3 |
| volume |
2713 (2013) |
| page_num |
1-5 |
| publisher |
| name |
Nature Publishing Group |
|
|
| keyword |
Google Trends |
| keyword |
diversification |
| keyword |
portfolio |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| abstract
(eng) |
Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to portfolio diversification using the information of searched items on Google Trends. The diversification is based on an idea that popularity of a stock measured by search queries is correlated with the stock riskiness. We penalize the popular stocks by assigning them lower portfolio weights and we bring forward the less popular, or peripheral, stocks to decrease the total riskiness of the portfolio. Our results indicate that such strategy dominates both the benchmark index and the uniformly weighted portfolio both in-sample and out-of-sample. |
| reportyear |
2014 |
| RIV |
AH |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0223795 |
| mrcbT16-e |
MULTIDISCIPLINARYSCIENCES |
| mrcbT16-f |
5.078 |
| mrcbT16-g |
0.823 |
| mrcbT16-h |
1.IV |
| mrcbT16-i |
0.03624 |
| mrcbT16-j |
2.174 |
| mrcbT16-k |
7118 |
| mrcbT16-l |
2484 |
| mrcbT16-s |
1.998 |
| mrcbT16-z |
ScienceCitationIndexExpanded |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
82.411 |
| mrcbT16-C |
91.818 |
| mrcbT16-D |
Q1 |
| mrcbT16-E |
Q2 |
| arlyear |
2013 |
| mrcbU34 |
000324583200003 WOS |
| mrcbU63 |
cav_un_epca*0386594 Scientific Reports 2045-2322 2045-2322 Roč. 3 č. 2713 2013 1 5 Nature Publishing Group |
|