Estimación del mercado de valores con base en las visitas a Wikipedia
Palabras clave:
Visitas a páginas de Wikipedia, mercado de valores, Fuzzy CoCo (método Cooperativo y Coevolutivo para la regla de Lógica Difusa)Resumen
Este documento propone una metodología para estimar el movimiento de los principales índices de mercado y con base en las visitas a Wikipedia utilizando el algoritmo FuzzyCoCo. Estudios anteriores han demostrado que el aumento del número de visitas a las páginas de Wikipedia en temas relacionados con la economía y las finanzas tiene un efecto en los mercados financieros. Se eligieron tres categorías de temas, una relacionada con deudas económicas, hechos sociopolíticos y otra relacionada con información específica de la empresa. Se utilizó un período de datos históricos de 5 años, desde enero de 2010 hasta diciembre de 2014. Los datos financieros consistieron en los principales índices bursátiles de la UE y EE. UU., como el Promedio Industrial Dow Jones (DJIA) y el S&P500 para los mercados de EE. UU., y FTSE100 y DAX30 para los mercados de la UE, además de los precios de las acciones de Facebook, Apple Inc. y Citigroup. La serie temporal de visitas a la página se probó primero para una prueba de causalidad de Granger y luego se utilizó una variable exógena para predecir los movimientos del mercado junto con los indicadores técnicos de uso común. La principal contribución del trabajo radica en el uso de las páginas vistas de Wikipedia como un indicador basado en el sentimiento social para la predicción de los movimientos del mercado. Los niveles de precisión direccional logrados hacen que la metodología sea atractiva para ser utilizada por los inversores para incorporar el sentimiento general del mercado con respecto a la recesión económica y el malestar social.
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