1. Coupling news sentiment with web browsing data predicts intra-day stock prices
G.Ranco, I.Bordino, G.Bormetti, G.Caldarelli, F.Lillo, M.Treccani
Discussion by Massimo Morini
02/04/2019

2. The power of hidden web information
The paper uses Yahoo Finance website clicks in order to separate news which are “noise” from those who carry real predictive power.
Unsurprisingly in recent years the clicks do carry such pattern recognition power according to a Granger causality test. This is a practically very relevant result.
How are click data obtained? Can they be made available in real time?
What is the most effective time frequency? One hour?
Are there any self-reinforcing effects in website workings, such as most clicked news are in evidence in a “most clicked” section?
Did you try ant more “analogic” measure of sentiment
Copyright 2013 Massimo Morini
02/04/2019

3. Are clicks the ultimate cause?
Question remains if the correlation between clicks and returns is still somehow “spurios”, in the sense that it may be that
Clicks really cause the news to become relevant
Clicks just indicate which news carry a relevant “fundamental” information
If the first hypothesis was the case, most-clicked new should carry their maximum predictive power the moment when they are clicked most.
If the second hypothesis was the case, most-clicked news should carry their maximum predictive power when they were published and not when they were clicked most.
Copyright 2013 Massimo Morini
02/04/2019