Skip to content
All library documents

Internet Blog Data as a Signal in Japanese Equities

Article arXiv papers · Author: Dorje C. Brody et al.
Read the original

Summary

This paper studies information gaps in the Japanese stock market and asks whether investors outside conventional statistical arbitrage research can find useful signals in public online material. Its approach analyzes a large volume of blog data, then builds an information-based model to reproduce the proposed trading strategy and estimate the size of the information disparity.

The document reports evidence of a market inefficiency and presents the model as a way to quantify it. The excerpt does not specify the trading rules, blog sources, sample period, performance measures, or transaction-cost assumptions, so it is not enough to assess whether the strategy would remain profitable in live trading or generalize beyond the studied market.

Key ideas

  • Public internet information may contain signals overlooked by conventional statistical arbitrage approaches.
  • The study analyzes Japanese stock market inefficiency using a large volume of blog data.
  • An information-based model is used to replicate the trading strategy and estimate information disparity.
  • The excerpt omits implementation details and trading-cost evidence needed to judge real-world profitability.

Tags

EquitiesSentimentArbitrageStatistics
Full text
# Outsider Trading


# Outsider Trading









In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are based on market microstructure, company releases, or analyst reports--can nevertheless pursue a profitable trading strategy. A large volume of blog data is used to demonstrate the existence of an inefficiency in the market. An information-based model that replicates the trading strategy is developed to estimate the degree of information disparity.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.