Conference Agenda

4A - Trends, Markets and Models
Tuesday, 06/July/2021:
11:15am - 12:45pm

Session Chair: Mouna Belaid
Zoom Host: Faith Musili
Replacement Zoom Host: Maryam Alizadeh
Location: The Lounge #talk_trends_markets_models

Session Topics:
Economics / Finance / Insurance, Social sciences

11:15am - 11:35am
ID: 217 / ses-04-A: 1
Regular Talk
Topics: Social sciences
Keywords: business/industry, internationalization, Google Trends

Let Me Google That for You – Measuring global trends using Google Trends

Harald Puhr, Jakob Müllner

WU Vienna,

We present the globaltrends package as a flexible and user-friendly means to analyze data from Google Trends. Google offers public access to global search volumes from its search engine through the Google Trends portal. Users select keywords for which they want to obtain search volumes and specify time period and location (global, country, state) of interest. For these combinations of keywords, periods, and locations Google Trends provides search volumes that indicate the number of search queries submitted to the Google search engine. However, Google constrains users to batches of five keywords and normalizes results for each batch. Thereby, large-scale analysis and comparability across batches is impaired. By re-normalizing results to a set of user-defined baseline keywords, the globaltrends package overcomes these limitations. This gives users the opportunity to download and measure search scores i.e., volumes set to a common baseline, for several keywords across or within locations. In addition, users can visualize distributions, developments, and out-of-the-ordinary changes in global search scores or for specific locations. The package allows researchers and analysts to use these search scores to investigate global trends based on patterns within them. This offers insights such as degree of internationalization of firms and organizations or dissemination of political, social, or technological trends across the globe or within single countries.

Link to package or code repository.

11:35am - 11:55am
ID: 230 / ses-04-A: 2
Regular Talk
Topics: Economics / Finance / Insurance
Keywords: economics, finance, beahaviour, package

Computing Disposition Effect on Financial Market Data

Lorenzo Mazzucchelli1, Marco Zanotti2

1University of Milan; 2T-Voice - Triboo Group

In recent years, an irrational phenomenon in financial markets is grabbing the attention of behavioral economists: the disposition effect. Firstly discovered by H. Shefrin and M. Statman (1985), the disposition effect consists in the realization that investors are more likely to sell an asset when it is gaining value compared to when it is losing value. A phenomenon which is closely related to sunk costs’ bias, diminishing sensitivity, and loss aversion.

From 1985 until now, the disposition effect has been documented in US retail stock investors as well as in foreign retail investors and even among professionals and institutions. By the time, it is a well-established fact that the disposition effect is a real behavioral anomaly that strongly influences the final profits (or losses) of investors. Furthermore, being able to correctly capture these irrational behaviors timely is even more important in periods of high financial volatility as nowadays.

The presentation focuses on the new dispositionEffect R package that allows to quickly evaluate the presence of disposition effect’s behaviors of an investor based solely on his transactions and the market prices of the traded assets. A simple step-by-step practical guide is presented to understand how to effectively use all the implemented functionalities. Finally, since financial data may be potentially huge in size, efficiency concerns are discussed and the parallelized versions of the functions are shown.

11:55am - 12:15pm
ID: 152 / ses-04-A: 3
Regular Talk
Topics: Economics / Finance / Insurance
Keywords: benchmarking

The R Package diseq: Estimation Methods for Markets in Equilibrium and Disequilibrium

Pantelis Karapanagiotis

Goethe University Frankfurt

Market models constitute a major cornerstone of empirical research in industrial organization and macroeconomics. Previous literature in these fields has proposed a variety of estimation methods both for markets in equilibrium, which typically entail a market-clearing condition, and in disequilibrium, in which the primary identification condition comes from the short-side rule. Although methodologically attractive, the estimation methods of such models, in particular of the disequilibrium models, is computationally demanding and software providing simple, out-of-the-box methods for estimating them is scarce. Econometricians, therefore, mostly rely on their own implementations for estimating these models. This talk presents the R package Diseq, which provides functionality to simplify the estimation of models for markets in equilibrium and disequilibrium using full information maximum likelihood methods. The basic functionality of the package is presented based on the data and the classic analysis originally performed by Fair & Jaffee (1972). The talk also gives an overview of the design of the package, presents the post-estimation analysis capabilities that accompany it, and provides statistical evidence of the computational performance of its functionality gathered via large-scale benchmarking simulations. Diseq is free software that is distributed under the MIT license as part of the R software project. It comprises a set of estimation tools, which are to a large extend not available from either alternative R packages or other statistical software projects.

Link to package or code repository.