IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v578y2021ics0378437121003903.html
   My bibliography  Save this article

Modeling collective behavior of posting microblogs by stochastic differential equation with jump

Author

Listed:
  • Pan, Jun-Shan
  • Li, Yuan-Qi
  • Hu, Han-Ping
  • Hu, Yong

Abstract

The characterization and understanding of online social network behavior is of importance from both the points of view of fundamental research and realistic application. In this manuscript, we propose a stochastic differential equation to describe the online microblogging behavior. Our analysis is based on the microblog data collected from Sina Weibo, which is one of the most popular microblogging platforms in China. Especially, we focus on the collective nature of the microblogging behavior, which embodies itself as the periodic patterns, the stochastic fluctuations around the baseline, and the extraordinary jumps in the analyzed data. Compared with existing works, we use time dependent parameters to facilitate the periodic feature of the microblogging behavior and incorporate a compound Poisson process to describe the extraordinary spikes in the Sina Weibo volume. These distinct merits lead to significant improvement in the prediction performance, thus justifying the validity of our model. This work may offer an alternative route towards the future detection of the anomalous behavior in online social network platforms.

Suggested Citation

  • Pan, Jun-Shan & Li, Yuan-Qi & Hu, Han-Ping & Hu, Yong, 2021. "Modeling collective behavior of posting microblogs by stochastic differential equation with jump," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
    • Handle: RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003903
    DOI: 10.1016/j.physa.2021.126117
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437121003903
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2021.126117?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Zhao, Zhi-Dan & Gao, Ya-Chun & Cai, Shi-Min & Zhou, Tao, 2016. "Dynamic patterns of academic forum activities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 117-124.
    3. Yan, Qiang & Yi, Lanli & Wu, Lianren, 2012. "Human dynamic model co-driven by interest and social identity in the MicroBlog community," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1540-1545.
    4. Suzanne S. Lee & Per A. Mykland, 2008. "Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2535-2563, November.
    5. Anders Mollgaard & Joachim Mathiesen, 2015. "Emergent User Behavior on Twitter Modelled by a Stochastic Differential Equation," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-12, May.
    6. Vazquez, Alexei, 2007. "Impact of memory on human dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 747-752.
    7. Gabriela Tavares & Aldo Faisal, 2013. "Scaling-Laws of Human Broadcast Communication Enable Distinction between Human, Corporate and Robot Twitter Users," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-11, July.
    8. Yan, Deng-Cheng & Wei, Zong-Wen & Han, Xiao-Pu & Wang, Bing-Hong, 2017. "Empirical analysis on the human dynamics of blogging behavior on GitHub," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 775-781.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    10. Hidalgo R., César A., 2006. "Conditions for the emergence of scaling in the inter-event time of uncorrelated and seasonal systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 877-883.
    11. Albert-László Barabási, 2005. "The origin of bursts and heavy tails in human dynamics," Nature, Nature, vol. 435(7039), pages 207-211, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xujian Zhao & Wei Li, 2021. "Trend Prediction of Event Popularity from Microblogs," Future Internet, MDPI, vol. 13(9), pages 1-13, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Qiang Liu & Zhi Liu & Chuanhai Zhang, 2020. "Heteroscedasticity test of high-frequency data with jumps and microstructure noise," Papers 2010.07659, arXiv.org.
    2. Sun, Zhi & Peng, Qinke & Lv, Jia & Zhong, Tao, 2017. "Analyzing the posting behaviors in news forums with incremental inter-event time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 203-212.
    3. Li, Kai & Lv, Tianyang & Shen, Huawei & Qiao, Lisheng & Chen, Enhong & Cheng, Xueqi & Sun, Zhi, 2020. "An empirical analysis on the behavioral differentia of the “Elite-Civilian” users in Sina microblog," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    4. Guo, Shengyu & Zhang, Pan & Ding, Lieyun, 2019. "Time-statistical laws of workers’ unsafe behavior in the construction industry: A case study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 419-429.
    5. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
    6. Thomas Kokholm & Martin Stisen, 2015. "Joint pricing of VIX and SPX options with stochastic volatility and jump models," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 16(1), pages 27-48, January.
    7. Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012. "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, vol. 57(3), pages 115-145, julio-sep.
    8. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
    9. Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
    10. Sandrine Lardic & Claire Gauthier, 2003. "Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets," Économie et Prévision, Programme National Persée, vol. 159(3), pages 53-69.
    11. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    12. Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
    13. O. Samimi & Z. Mardani & S. Sharafpour & F. Mehrdoust, 2017. "LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 173-187, August.
    14. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
    15. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    16. Anlong Li, 1992. "Binomial approximation in financial models: computational simplicity and convergence," Working Papers (Old Series) 9201, Federal Reserve Bank of Cleveland.
    17. Heller, Yuval & Schreiber, Amnon, 2020. "Short-term investments and indices of risk," Theoretical Economics, Econometric Society, vol. 15(3), July.
    18. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360.
    19. Mohamed Ben Alaya & Ahmed Kebaier & Djibril Sarr, 2024. "Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure," Papers 2409.12783, arXiv.org.
    20. Richard Jordan & Charles Tier, 2016. "Asymptotic Approximations For Pricing Derivatives Under Mean-Reverting Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-31, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003903. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.