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SUPPORTING INFORMATION S2: Web search queries can predict stock market volumes. Ilaria Bordino1 , Stefano Battiston2 , Guido Caldarelli3,4,5, Matthieu Cristelli3,∗ , Antti Ukkonen1 , Ingmar Weber1 1 Yahoo! Research, Barcelona, Spain 2 ETH Chair of System Design, Zurich, Switzerland 3 Inst. of Complex Systems CNR, “Sapienza” University, Rome, Italy 4 London Institute for Mathematical Sciences, London, United Kingdom 5 IMT - Institute for Advanced Studies, Lucca, Italy ∗ E-mail:
[email protected]
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Beyond Granger Tests: Tables Table S 1. Test 1: p-values for the 26 companies for which Q → V at p = 0.01 Ticker atvi csco expe ilmn isrg nflx nvda rimm altr msft symc mrvl orcl erts amgn ffiv ntap bbby apol amzn urbn vrtx adbe qgen chrw stx
p − val(Q → V ) 0.000100 0.000100 0.000100 0.000100 0.000100 0.000100 0.000100 0.000100 0.000200 0.000200 0.000200 0.000500 0.000500 0.000800 0.000900 0.001400 0.001800 0.001900 0.002000 0.002100 0.002700 0.003200 0.004300 0.006000 0.007300 0.008600
p − val(V → Q) 0.995100 1.000000 0.997100 0.996800 0.998900 1.000000 1.000000 1.000000 0.999900 0.961500 0.986800 0.990800 0.966600 0.954600 0.949500 0.793400 0.968100 0.983300 0.896500 0.769600 0.880500 0.973900 0.766700 0.981300 0.965600 0.995600
CCF 0.39 0.74 0.52 0.40 0.67 0.68 0.79 0.66 0.55 0.42 0.58 0.40 0.52 0.62 0.36 0.65 0.61 0.43 0.79 0.48 0.37 0.50 0.85 0.35 0.16 0.37
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Table S 2. Test 1: p-values for the ten companies with smallest p − val(V → Q Ticker dltr mxim lltc rost cmcsa vrsn infy flir vmed intu
p − val(Q → V) 0.957000 0.963700 0.936800 0.851700 0.913600 0.781100 0.750700 0.836400 0.805600 0.821200
p − val(V → Q) 0.019700 0.060700 0.106900 0.142600 0.175900 0.176800 0.183600 0.193800 0.220700 0.270100
3 Table S 3. List of tickers for which Test 2 gives significant results Ticker aapl adbe adp akam altr amgn amzn apol atvi bbby bidu biib brcm celg ceph csco ctrp ctxs dltr erts esrx expd expe ffiv fslr gild grmn ilmn infy intc iisrg klac lrcx mchp micc mrvl msft nflx nihd ntap nvda orcl pcar pcln rimm sbux shld sndk srcl stx symc urbn wcrx wfmi yhoo
Outcome Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V Q→V
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Table S 4. List of tickers for which Test 2 gives significant results Ticker joyg lltc rost teva vrsn vrtx
Outcome V →Q V →Q V →Q V →Q V →Q V →Q
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Table S 5. Outcome of Test 3 Ticker aapl adbe adp adsk akam altr amat amgn amzn apol atvi bbby bidu biib bmc brcm celg ceph chkp chrw cmcsa csco ctrp ctsh ctxs dltr dtv erts esrx expd expe ffiv fisv flir fslr gild goog grmn hsic ilmn infy intc intu isrg
p − val(Q → V) 0.000002 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000575 0.000000 0.033902 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000001 0.000000 0.000000 0.000000 0.000000 0.000000 0.054118 0.000005 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000
p − val(V → Q) 0.006796 0.000000 0.000237 0.000000 0.000000 0.000000 0.000151 0.000545 0.000000 0.000000 0.000125 0.000061 0.000000 0.000229 0.000000 0.000000 0.006149 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000005 0.004119 0.000000 0.000001 0.000000 0.000000 0.000000 0.000449 0.000000 0.000000 0.000000 0.000000 0.000000 0.155566 0.000000 0.000000 0.001255 0.000000 0.000000 0.000000 0.026642
Ticker joyg klac linta lltc lrcx mat mchp micc mrvl msft mu mxim myl nflx nihd ntap nvda nwsa orcl payx pcar pcln qcom qgen rimm rost sbux shld sial sndk spls srcl stx symc teva urbn vmed vod vrsn vrtx wcrx wfmi yhoo
p − val(Q → V) 0.000000 0.000000 0.030768 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000002 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000027 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000080 0.000000 0.000006 0.000000 0.000000 0.000000 0.000000 0.000000 0.000003 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000
p − val(V → Q) 0.000000 0.000000 0.000000 0.000000 0.000000 0.000970 0.000000 0.000000 0.000000 0.005801 0.048229 0.000000 0.000000 0.000003 0.000000 0.000004 0.000001 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000044 0.000000 0.024980 0.000000 0.000000 0.000000 0.000000 0.000001 0.000567 0.000000 0.000000 0.004847 0.000000 0.057984 0.000000 0.000000 0.000000
