Faculty Advisor

Koutmos, Dimitrios

Abstract

In this paper, we present a methodology for utilizing Google Search Indices obtained from the Google Trends website as a means for measuring potential investor interest in stocks listed on the Dow Jones Index (Dow 30). We accomplish this task by utilizing a Long Short-Term Memory network that correlates changes in the search volume for a given asset with changes in the actual trade volume for said asset. Additionally, by using these predictions, we formulate a concise trading strategy in the hopes of being able to outperform the market and analyze the results of this new strategy by backtesting across weekly closing price data for the last six months of 2016.

Publisher

Worcester Polytechnic Institute

Date Accepted

February 2018

Project Type

Interactive Qualifying Project

Accessibility

Unrestricted

Advisor Department

Business

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