<p>The efficacy and accuracy of information is very important for making decision in stock markets. In this paper, we study on the effect of information diffusion in Chinese stock market before and after the owership release in February 19, 2001, by testing the stationary of A share premium and cointegration between A and B share prices. The panel unit root tests we propose on A share premium are Augmented Dickey-Fullar (ADF) tests for individual firm and Fisher tests for the panel, based on combining pvalues from each individual cross-section. The panel cointegration tests on A and B shares we use is Johansen’s likelihood ratio tests for individual firm and likelihoodbased panel cointegraion tests for panel, based on combining the test statistics. The results show that before the opening of B share markets to domestic investors, A share premiums have a unit root and there is no cointegration relationship between A and B share markets. On the contrary, after ownership release, A share premium is stationary and there is cointegration relationship between A and B share markets.</p>

The efficacy and accuracy of information is very important for making decision in stock markets. In this paper, we study on the effect of information diffusion in Chinese stock market before and after the owership release in February 19, 2001, by testing the stationary of A share premium and cointegration between A and B share prices. The panel unit root tests we propose on A share premium are Augmented Dickey-Fullar (ADF) tests for individual firm and Fisher tests for the panel, based on combining pvalues from each individual cross-section. The panel cointegration tests on A and B shares we use is Johansen’s likelihood ratio tests for individual firm and likelihoodbased panel cointegraion tests for panel, based on combining the test statistics. The results show that before the opening of B share markets to domestic investors, A share premiums have a unit root and there is no cointegration relationship between A and B share markets. On the contrary, after ownership release, A share premium is stationary and there is cointegration relationship between A and B share markets.

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In this thesis, we consider the problem of diffusing information resiliently in networks that contain misbehaving nodes. Previous strategies to achieve resilient information diffusion typically require the normal nodes to hold some global information, such as the topology of the network and the identities of non-neighboring nodes. However, these assumptions are not suitable for large-scale networks and this necessitates our study of resilient algorithms based on only local information. We propose a consensus algorithm where, at each time-step, each normal node removes the extreme values in its neighborhood and updates its value as a weighted average of its own value and the remaining values. We show that traditional topological metrics (such as connectivity of the network) fail to capture such dynamics. Thus, we introduce a topological property termed as network robustness and show that this concept, together with its variants, is the key property to characterize the behavior of a class of resilient algorithms that use purely local information. We then investigate the robustness properties of complex networks. Specifically, we consider common random graph models for complex networks, including the preferential attachment model, the Erdos-Renyi model, and the geometric random graph model, and compare the metrics of connectivity and robustness in these models. While connectivity and robustness are greatly different in general (i.e., there exist graphs which are highly connected but with poor robustness), we show that the notions of robustness and connectivity are equivalent in the preferential attachment model, cannot be very different in the geometric random graph model, and share the same threshold functions in the Erdos-Renyi model, which gives us more insight about the structure of complex networks. Finally, we provide a construction method for robust graphs.

In this thesis, we consider the problem of diffusing information resiliently in networks that contain misbehaving nodes. Previous strategies to achieve resilient information diffusion typically require the normal nodes to hold some global information, such as the topology of the network and the identities of non-neighboring nodes. However, these assumptions are not suitable for large-scale networks and this necessitates our study of resilient algorithms based on only local information. We propose a consensus algorithm where, at each time-step, each normal node removes the extreme values in its neighborhood and updates its value as a weighted average of its own value and the remaining values. We show that traditional topological metrics (such as connectivity of the network) fail to capture such dynamics. Thus, we introduce a topological property termed as network robustness and show that this concept, together with its variants, is the key property to characterize the behavior of a class of resilient algorithms that use purely local information. We then investigate the robustness properties of complex networks. Specifically, we consider common random graph models for complex networks, including the preferential attachment model, the Erdos-Renyi model, and the geometric random graph model, and compare the metrics of connectivity and robustness in these models. While connectivity and robustness are greatly different in general (i.e., there exist graphs which are highly connected but with poor robustness), we show that the notions of robustness and connectivity are equivalent in the preferential attachment model, cannot be very different in the geometric random graph model, and share the same threshold functions in the Erdos-Renyi model, which gives us more insight about the structure of complex networks. Finally, we provide a construction method for robust graphs.

Zugl.: Zürich, Univ., Diss., 2007

abstract: Internet sites that support user-generated content, so-called Web 2.0, have become part of the fabric of everyday life in technologically advanced nations. Users collectively spend billions of hours consuming and creating content on social networking sites, weblogs (blogs), and various other types of sites in the United States and around the world. Given the fundamentally emotional nature of humans and the amount of emotional content that appears in Web 2.0 content, it is important to understand how such websites can affect the emotions of users. This work attempts to determine whether emotion spreads through an online social network (OSN). To this end, a method is devised that employs a model based on a general threshold diffusion model as a classifier to predict the propagation of emotion between users and their friends in an OSN by way of mood-labeled blog entries. The model generalizes existing information diffusion models in that the state machine representation of a node is generalized from being binary to having n-states in order to support n class labels necessary to model emotional contagion. In the absence of ground truth, the prediction accuracy of the model is benchmarked with a baseline method that predicts the majority label of a user's emotion label distribution. The model significantly outperforms the baseline method in terms of prediction accuracy. The experimental results make a strong case for the existence of emotional contagion in OSNs in spite of possible alternative arguments such confounding influence and homophily, since these alternatives are likely to have negligible effect in a large dataset or simply do not apply to the domain of human emotions. A hybrid manual/automated method to map mood-labeled blog entries to a set of emotion labels is also presented, which enables the application of the model to a large set (approximately 900K) of blog entries from LiveJournal. / Dissertation/Thesis / M.S. Computer Science 2011

Online social networks are experiencing an explosive growth in recent years in both the number of users and the amount of information shared. The users join these social networks to connect with each other, share, find content and disseminate information by sending short text messages in near realtime. As a result of the growth of social networks, the users are often experiencing information overload since they interact with many other users and read ever increasing content volume. Thus, finding the "matching" users and content is one of the key challenges for social networks sites. Recommendation systems have been proposed to help users cope with information overload by predicting the items that a user may be interested in. The users' preferences are shaped by personal interests. At the same time, users are affected by their surroundings, as determined by their geographically located communities. Accordingly, our approach takes into account both personal interests and local communities. We first propose a new dynamic recommendation system model that provides better customized content to the user. That is, the model provides the user with the most important tweets according to his individual interests. We then analyze how changes in the surrounding environment can affect the user's experience. Specifically, we study how changes in the geographical community preferences can affect the individual user's interests. These community preferences are generally reflected in the localized trending topics. Consequently, we present TrendFusion, an innovative model that analyzes the trends propagation, predicts the localized diffusion of trends in social networks and recommends the most interesting trends to the user. Our performance evaluation demonstrate the effectiveness of the proposed recommendation system and shows that it improves the precision and recall of identifying important tweets by up to 36% and 80%, respectively. Results also show that TrendFusion accurately predicts places in which a trend will appear, with 98% recall and 80% precision. / Ph. D.

Data dissemination problem is a challenging issue in social networks, especially in mobile social networks, which grows rapidly in recent years worldwide with a significant increasing number of hand-on mobile devices such as smart phones and pads. Short-range radio communications equipped in mobile devices enable mobile users to access their interested contents not only from access points of Internet but also from other mobile users. Through proper data dissemination among mobile users, the bandwidth of the short-range communications can be better utilized and alleviate the stress on the bandwidth of the cellular networks. In this dissertation proposal, data dissemination problem in mobile social networks is studied. Before data dissemination emerges in the research of mobile social networks, routing protocol of finding efficient routing path in mobile social networks was the focus, which later became the pavement for the study of the efficient data dissemination. Data dissemination priorities on packet dissemination from multiple sources to multiple destinations while routing protocol simply focus on finding routing path between two ends in the networks. The first works in the literature of data dissemination problem were based on the modification and improvement of routing protocols in mobile social networks. Therefore, we first studied and proposed a prediction-based routing protocol in delay tolerant networks. Delay tolerant network appears earlier than mobile social networks. With respect to delay tolerant networks, mobile social networks also consider social patterns as well as mobility patterns. In our work, we simply come up with the prediction-based routing protocol through analysis of user mobility patterns. We can also apply our proposed protocol in mobile social networks. Secondly, in literature, efficient data dissemination schemes are proposed to improve the data dissemination ratio and with reasonable overhead in the networks. However, the overhead may be not well controlled in the existing works. A social-aware data dissemination scheme is proposed in this dissertation proposal to study efficient data dissemination problem with controlled overhead in mobile social networks. The data dissemination scheme is based on the study on both mobility patterns and social patterns of mobile social networks. Thirdly, in real world cases, an efficient data dissemination in mobile social networks can never be realized if mobile users are selfish, which is true unfortunately in fact. Therefore, how to strengthen nodal cooperation for data dissemination is studied and a credit-based incentive data dissemination protocol is also proposed in this dissertation. Data dissemination problem was primarily researched on mobile social networks. When consider large social networks like online social networks, another similar problem was researched, namely, information diffusion problem. One specific problem is influence maximization problem in online social networks, which maximize the result of information diffusion process. In this dissertation proposal, we proposed a new information diffusion model, namely, sustaining cascading (SC) model to study the influence maximization problem and based on the SC model, we further plan our research work on the information diffusion problem aiming at minimizing the influence diffusion time with subject to an estimated influence coverage.

In the first essay titled "Shareholder Coordination, Information Diffusion and Stock Returns", we show that the quality of information sharing networks linking firms' institutional investors has stock return predictability implications. First, we demonstrate that firms with high shareholder coordination experience less local comovement and less post earnings announcement drift, consistent with the notion that coordination improves firms' information environment. We then document that the stock return performance of firms with high shareholder coordination leads that of firms with low shareholder coordination, supporting the view that coordination acts as an information diffusion channel. Finally, we provide evidence consistent with the notion that the market does not readily recognize the superior quality of high shareholder coordination firms and prices it gradually through the trading of sophisticated institutional investors, thereby causing future returns to be positively associated with shareholder coordination. In the second essay titled "Shareholder Coordination and Stock Price Informativeness", we find that stock prices of firms with better information sharing networks linking institutional shareholders exhibit higher levels of idiosyncratic volatility. This positive relation between shareholder coordination and stock price informativeness is mainly driven by coordination among dedicated and independent institutions and exists even after accounting for endogeneity. We further show that institutional trading serves as an information diffusion channel that strengthens the relationship of shareholder coordination with price informativeness. Overall, our results indicate that a higher degree of shareholder coordination leads to more informative stock prices by encouraging the collection of and trading on private information.