|Appears in Collections:||Computing Science and Mathematics Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Predictability analysis of the Pound's Brexit exchange rates based on Google Trends data|
Tsagarakis, Konstantinos P
|Citation:||Mavragani A, Gkillas K & Tsagarakis KP (2020) Predictability analysis of the Pound's Brexit exchange rates based on Google Trends data. Journal of Big Data, 7 (1), Art. No.: 79. https://doi.org/10.1186/s40537-020-00337-2|
|Abstract:||During the last decade, the use of online search traffic data is becoming popular in examining, analyzing, and predicting human behavior, with Google Trends being a popular tool in monitoring and analyzing the users' online search patterns in several research areas, like health, medicine, politics, economics, and finance. Towards the direction of exploring the Sterling Pound’s predictability, we employ Google Trends data from the last 5 years (March 1st, 2015 to February 29th, 2020) and perform predictability analysis on the Pound’s exchange rates to Euro and Dollar. The period selected includes the 2016 UK referendum as well as the actual Brexit day (January 31st, 2020), with the analysis aiming at analyzing the Pound’s relationships with Google query data on Pound-related keywords and topics. A quantile dependence method is employed, i.e., cross-quantilograms, to test for directional predictability from Google Trends data to the Pound’s exchange rates for lags from zero to 30 (in weeks). The results indicate that statistically significant quantile dependencies exist between Google query data and the Pound’s exchange rates, which point to the direction of one of the main implications in this field, that is to examine whether the movements in one economic variable can cause reactions in other economic variables.|
|Rights:||This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.|
|s40537-020-00337-2.pdf||Fulltext - Published Version||5.3 MB||Adobe PDF||View/Open|
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