SONIC: SOcial Network with Influencers and Communities

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IRTG 1792 Discussion Paper ; No. 2019-025

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Construction and Estimation ; Behavioral Finance: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets‡
• Thema: social media ; network ; community ; opinion mining ; natural language processing

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Chen, Cathy Yi-Hsuan ; Härdle, Wolfgang Karl ; Klochkov, Yegor
• Ereignis: Veröffentlichung
• (wer): Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
• (wo): Berlin
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/230801
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ