• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Anna Rakovskaya
Modelling of Joint Dependence FTSE 100 Index and Investor's Activity Level on the Internet
Economics and Statistics
(Bachelor’s programme)
2016
This work is devoted to modeling capabilities depending on the national index of the UK FTSE 100 index and information indicies of the interest and sentiment. The aim of this work is to analyze and, if possible, calculate dependency models of the national index of the UK FTSE 100 index and investor's activity on the Internet. The relationship of the closing prices of the FTSE 100 index and information indicies was analyzed. Data were uploaded from sources that include Bloomberg, Yahoo! Finance, as well as Google database and Twitter. To extract data from Google and Twitter parser-code was used.

Attempts were made to construct models for the absolute values, and for returns. Analysis of the data structure showed that user sentiment index appeared to be stationary, so the attempt was made to construct a model of vector autoregression for the largest and most well-known companies included in the index.

To see how the sentiment indices and interest of users affect the average yield, we attempt to evaluate the ARMA model . The analysis was based MA (1) model, in which the mood index was significant, while as the index of interest was excluded from the model due to insignificance.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses