An Application of Web Search Data for a Energy Commodity Market

Taeki  Hong; Jinsoo  Kim

doi:10.12972/ksmer.2016.53.6.603

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2016 Vol.53, Issue 6 Preview Page Next Page

Research Paper

An Application of Web Search Data for a Energy Commodity Market 에너지 상품 시장에서 인터넷 검색 자료의 활용 방안

31 December 2016. pp. 603-614

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Abstract

Web search data has actively been utilized in various fields such as finance, macroeconomics, and business. There are only a few studies, however, related to web search data in energy commodity market. We thus investigate the relationship between web search data and the volatility of WTI futures prices using k-means and expectationmaximization cluster analysis. The result shows that the volatility of WTI futures price has a tendency to cause the increase in web search data. In addition, we propose a portfolio investment strategy using web search data. The performance of the proposed portfolio provides that the standard deviation decreases by 0.032% and weekly average return increases by 0.08% comparing a benchmark portfolio. This result means that web search data can be used for a risk management.

Keywords

Web search data

Energy commodity market

Portfolio

Cluster analysis

거시경제, 금융 그리고 경영 등 다양한 분야에서 인터넷 검색 자료를 활용한 연구가 활발히 이루어지고 있으나 에너지 상품 시장에서의 활용에 관한 연구는 미미한 실정이다. 이에 본 연구는 k-평균 군집분석과 기댓값 최대화 군집분석을 통해 인터넷 검색 자료와 WTI 원유 선물 가격의 변동성 관계를 분석하였다. 그 결과 원유 선물 가격 변동성이 커짐에 따라 인터넷 검색 자료 빈도가 증가하는 경향을 확인하였고, 추가적으로 인터넷 검색 자료를 활용한 포트폴리오 투자 전략을 제안하였다. 인터넷 검색자료를 활용한 포트폴리오는 기준 포트폴리오에 비해 표준편차가 0.032% 감소하여 위험도가 낮아지는 것으로 확인되었으며 주간 평균 수익률은 0.08% 증가 하였다. 해당 결과는 인터넷 검색 자료가 위험관리 지표로 활용 가능함을 시사한다.

키워드

인터넷 검색 자료

에너지 상품 시장

포트폴리오

군집분석

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Information

Publisher :The Korean Society of Mineral and Energy Resources Engineers
Publisher(Ko) :한국자원공학회
Journal Title :Journal of the Korean Society of Mineral and Energy Resources Engineers
Journal Title(Ko) :한국자원공학회지
Volume : 53
No :6
Pages :603-614
Received Date : 2016-08-06
Revised Date : 2016-11-11
Accepted Date : 2016-12-22
DOI :https://doi.org/10.12972/ksmer.2016.53.6.603

Journal of the Korean Society of Mineral and Energy Resources Engineers ISSN:2288-0291(Print) 2288-2790(Online) 한국자원공학회지

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