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

Matteo Iacopini (1, 2) , Carlo Romano Marcello Alessandro Santagiustina (3, 4, 5)

1 QMUL - Queen Mary University of London
2 VU - Vrije Universiteit Amsterdam [Amsterdam]
3 Université de Venise Ca’ Foscari | Università Ca’ Foscari di Venezia
4 Sciences Po - Sciences Po
5 Venice International University

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.

Mots clés: Particle filtering; Risk perception; Bayesian inference; Count time series; Social media

Domaines: Méthodes et statistiques; Modélisation et simulation; Econométrie de la finance [q-fin.ST]; Réseaux sociaux et d'information [cs.SI]; Mathématiques [math]; Probabilités [math.PR]; Statistiques [stat]; Applications [stat.AP]; Méthodologie [stat.ME]; Économie et finance quantitative [q-fin]; Gestion des risques [q-fin.RM]

Matteo Iacopini, Carlo Romano Marcello Alessandro Santagiustina. Filtering the Intensity of Public Concern from Social Media Count Data with Jumps. Journal of the Royal Statistical Society: Series A Statistics in Society, 2021, 184 (4), pp.1283-1302. ⟨10.1111/rssa.12704⟩. ⟨hal-04494229⟩